Economics, Econometrics and Finance
8 years ago

New study reveals how joint distribution functions can predict multivariate dependence.

Statistics & Probability Letters
Distribution functions of multivariate copulas
José Antonio Rodrı́guez-Lallena, Manuel Úbeda-Flores

Paper Summary

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The article explores how the distribution function of a random variable depends on copulas associated with different distribution functions. The researchers focused on continuous random vectors with common univariate marginals and examined properties of these distribution functions. They found that the distribution function of the random variable is determined by the copulas C1 and C2, and demonstrated various applications, including multivariate dependence orderings.