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On the multivariate probability integral transformation


  • Genest, Christian
  • Rivest, Louis-Paul


A general formula is given for computing the distribution function K of the random variable H(X,Y) obtained by taking the bivariate probability integral transformation (BIPIT) of a random pair (X,Y) with distribution function H. Of particular interest is the behavior of the sequence (Kn) corresponding to the BIPIT of pairs (Xn,Yn) of componentwise maxima Xn=max(X1,...,Xn) and Yn=max(Y1, ..., Yn) of random samples (X1,Y1),...,(Xn,Yn) from distribution H. Illustrations are provided and the potential for statistical application is outlined. Multivariate extensions are briefly considered.

Suggested Citation

  • Genest, Christian & Rivest, Louis-Paul, 2001. "On the multivariate probability integral transformation," Statistics & Probability Letters, Elsevier, vol. 53(4), pages 391-399, July.
  • Handle: RePEc:eee:stapro:v:53:y:2001:i:4:p:391-399

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    References listed on IDEAS

    1. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
    2. Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
    3. Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August.
    4. Ali, Mir M. & Mikhail, N. N. & Haq, M. Safiul, 1978. "A class of bivariate distributions including the bivariate logistic," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 405-412, September.
    5. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
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    Cited by:

    1. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    2. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    3. Rodríguez-Lallena, José A. & Úbeda-Flores, Manuel, 2003. "Distribution functions of multivariate copulas," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 41-50, August.
    4. repec:eee:reensy:v:159:y:2017:i:c:p:80-89 is not listed on IDEAS
    5. repec:eee:reensy:v:127:y:2014:i:c:p:1-11 is not listed on IDEAS
    6. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
    7. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
    8. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Penev, Spiridon I., 2008. "GeD spline estimation of multivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3570-3582, March.
    9. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 223-256, August.
    10. Sabrina Mulinacci, 2017. "A systemic shock model for too big to fail financial institutions," Papers 1704.02160,, revised Apr 2017.
    11. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    12. Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
    13. Kouros Owzar & Pranab Kumar Sen, 2003. "Copulas: concepts and novel applications," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 323-353.
    14. Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349,, revised Apr 2013.
    15. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    16. Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
    17. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
    18. repec:eee:reensy:v:147:y:2016:i:c:p:123-131 is not listed on IDEAS
    19. Nelsen, Roger B. & Quesada-Molina, José Juan & Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2003. "Kendall distribution functions," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 263-268, November.
    20. Quessy, Jean-François & Bahraoui, Tarik, 2014. "Weak convergence of empirical and bootstrapped C-power processes and application to copula goodness-of-fit," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 16-36.
    21. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 10-18, January.


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