Best-possible bounds on sets of bivariate distribution functions |
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Authors: | Roger B Nelsen Jos Juan Quesada Molina Jos Antonio Rodríguez Lallena Manuel Úbeda Flores |
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Institution: | a Department of Mathematical Sciences, Lewis & Clark College, 0615 SW Palatine Hill Rd., Portland, OR 97219, USA;b Departamento de Matemática Aplicada, Universidad de Granada, 18071, Granada, Spain;c Departamento de Estadística y Matemática Aplicada, Universidad de Almería, 04120, Almería, Spain |
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Abstract: | The fundamental best-possible bounds inequality for bivariate distribution functions with given margins is the Fréchet–Hoeffding inequality: If H denotes the joint distribution function of random variables X and Y whose margins are F and G, respectively, then max(0,F(x)+G(y)−1)H(x,y)min(F(x),G(y)) for all x,y in −∞,∞]. In this paper we employ copulas and quasi-copulas to find similar best-possible bounds on arbitrary sets of bivariate distribution functions with given margins. As an application, we discuss bounds for a bivariate distribution function H with given margins F and G when the values of H are known at quartiles of X and Y. |
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Keywords: | Bounds Copulas Distribution functions Kendall's tau Quartiles Quasi-copulas |
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