Multivariate Asymmetric Distributions of Copula Related Random Variables

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Multivariate Asymmetric Distributions of Copula Related Random Variables

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Multivariate Asymmetric Distributions of Copula Related Random Variables

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

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

Název periodika

Austrian Journal of Statistics

ISSN

1026-597X

e-ISSN

—

Svazek periodika

—

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

AT - Rakouská republika

Počet stran výsledku

14

Strana od-do

1-14

Kód UT WoS článku

000955962000001

EID výsledku v databázi Scopus

2-s2.0-85166000707