Semi-parametric multivariate modelling when the marginals are the same |
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Authors: | J. S. Marron, Miguel Nakamura,Ví ctor P rez-Abreu |
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Affiliation: | a Department of Statistics, University of North Carolina, Chapel Hill, NC 27599, USA;b Department of Probability and Statistics, Centro de Investigación en Matemáticas A. C., Apdo. Postal 402, Guanajuato, Gto. 36000, Mexico |
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Abstract: | A model is developed for multivariate distributions which have nearly the same marginals, up to shift and scale. This model, based on “interpolation” of characteristic functions, gives a new notion of “correlation”. It allows straightforward nonparametric estimation of the common marginal distribution, which avoids the “curse of dimensionality” present when nonparametically estimating the full multivariate distribution. The method is illustrated with environmental monitoring network data, where multivariate modelling with common marginals is often appropriate. |
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Keywords: | Multivariate characteristic function Measures of correlation Infinitely divisible random vectors Environmental data |
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