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Bivariate distributions with nonmonotone dependence structure

Author

Listed:
  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique, Dipartimento di Scienze Economiche e Aziendali - LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • A. Venetoulias

Abstract

A new ordering for nonmonotone dependence is proposed, and a method is presented for describing parametric families of bivariate distributions with fixed marginals and specified dependence structures. The method is easy to use and allows for arbitrary marginals and arbitrary dependence structures (e.g., structures of nonmonotone dependence). Any parametric family of bivariate distributions is ordered by the nonmonotone dependence ordering constructed from the desirable dependence structure. The construction is based on a generalization of the copula of distribution functions to a copula of probability measures on product spaces. Examples are shown for various bivariate distribution

Suggested Citation

  • Marco Scarsini & A. Venetoulias, 1993. "Bivariate distributions with nonmonotone dependence structure," Post-Print hal-00541945, HAL.
    • Handle: RePEc:hal:journl:hal-00541945
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    Cited by:

    1. Müller, Hans-Georg & Yan, Xin, 2001. "On Local Moments," Journal of Multivariate Analysis, Elsevier, vol. 76(1), pages 90-109, January.

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