Multivariate Asymmetric Distributions of Copula Related Random Variables

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F23%3AA2402LOG" target="_blank" >RIV/61988987:17610/23:A2402LOG - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.17713/ajs.v52i4.1446" target="_blank" >http://dx.doi.org/10.17713/ajs.v52i4.1446</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.17713/ajs.v52i4.1446" target="_blank" >10.17713/ajs.v52i4.1446</a>

Result language

angličtina

Original language name

Multivariate Asymmetric Distributions of Copula Related Random Variables

Original language description

It is known that normal distribution plays an important role in analysing symmetric data. However, this symmetric assumption may not hold in many real word and in such cases, asymmetric distribution, including skew normal distribution, are known as the best alternative. Constructing asymmetric distributions is carried out using the con-ditional/selection approach of several independent variable conditioning on other set of variables and this approach does not work well when the independence between variables violated. In this work we construct an asymmetric distribution when variables are depen-dent using a copula. Specifically, we consider the random vectors X and Y are connected using a copula function CX,Y and we study the selection distribution Z =d (X|Y ∈ T). We present some special cases of our proposed distribution, among them, multivariate skew-normal distribution. Some properties such as moments and moment generating function are investigated. Also, numerical analysis including simulation study as well as a real data set analysis are presented for illustration.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2023

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Austrian Journal of Statistics

ISSN

1026-597X

e-ISSN

—

Volume of the periodical

—

Issue of the periodical within the volume

4

Country of publishing house

AT - AUSTRIA

Number of pages

14

Pages from-to

1-14

UT code for WoS article

000955962000001

EID of the result in the Scopus database

2-s2.0-85166000707