Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters
Year: 1996
Type: book-chapter
Abstract: A class of ra-variate distributions with given margins and m(m -l)/2 dependence parameters, which is based on iteratively mixing conditional distributions, is derived.The family of multivariate normal distributions is a special case.The motivation for the class is to get parametric families that have m(m -l)/2 dependence parameters and properties that the family of multivariate normal distributions does not have.Properties of the class are studied, with details for (i) conditions for bivariate tail dependence and non-trivial limiting multivariate extreme value distributions and (ii) range of dependence for a bivariate measure of association such as Kendall's tau.Because tail dependence properties are one reason for studying nonmultivariate normal families, conditions for bivariate tail dependence are stud- AMS 1991
Source: Lecture notes-monograph series
Author: Harry Joe
Institution: University of British Columbia
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1529468743