Multivariate Dispersion Order And The Notion Of Copula Applied To The Multivariate t-Distribution

  • Authors:

  • J. P. Arias-nicolá/s;J. M. Ferná/ndez-ponce;P. Luque-calvo;A. Suá/rez-llorens

  • Affiliations:

  • Department of Mathematics, University of Extremadura, Extremadura, Spain, E-mail: jparias@unex.es;Department of Statistics, University of Sevilla, 41013 Sevilla, Spain, E-mail: ferpon@us.es/ calvo@us.es;Department of Statistics, University of Sevilla, 41013 Sevilla, Spain, E-mail: ferpon@us.es/ calvo@us.es;Department of Statistics, University of Cá/diz, 11002 Cá/diz, Spain, E-mail: alfonso.suarez@uca.es

  • Venue:
  • Probability in the Engineering and Informational Sciences
  • Year:
  • 2005

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Abstract

We study the concept of multivariate dispersion order, defined as the existence of an expansion function that maps a random vector to another one, for multivariate distributions with the same dependence structure. As a particular case, we can order the multivariate t-distribution family in dispersion sense. Finally, we use these results in the problem of detection and characterization of influential observations in regression analysis. This problem can often be used to compare two multivariate t-distributions.