New copulae from an order-statistics approach

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• Rose Baker, University of Salford
• Tuesday 11 March 2008, 14:30-15:30
• Large Seminar Room, 1st Floor, Institute of Public Health, University Forvie Site, Robinson Way, Cambridge.

If you have a question about this talk, please contact Nikolaos Demiris.

A new system of multivariate distributions with fixed marginal distributions is introduced via the consideration of random variates that are randomly chosen pairs of order statistics of the marginal distributions. The distributions allow arbitrary positive or negative Pearson correlations between pairs of random variates and generalize the Farlie-Gumbel-Morgenstern distribution. The copulas of these distributions are special cases of the Bernstein copula. Generation of random numbers from the distributions is described, and formulas for the Kendall and grade (Spearman) correlations are given. Procedures for data fitting are described and illustrated with examples. The essential problem is that of identifying useful models with few parameters from a rich range of possibilities.

This talk is part of the MRC Biostatistics Unit Seminars series.

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