Sampling algorithms for generating joint uniform distributions using the vine-copula method

نویسندگان

  • Dorota Kurowicka
  • Roger M. Cooke
چکیده

7 An n-dimensional joint uniform distribution is defined as a distribution whose one-dimensional marginals are uniform on some interval I. This interval is taken to be [0,1] or, when more convenient [− 1 2 , 1 2 ]. The specification of joint uniform distributions 9 in a way which captures intuitive dependence structures and also enables sampling routines is considered. The question whether every n-dimensional correlation matrix can be realized by a joint uniform distribution remains open. It is known, however, that 11 the rank correlation matrices realized by the joint normal family are sparse in the set of correlation matrices. A joint uniform distribution is obtained by specifying conditional rank correlations on a regular vine and a copula is chosen to realize the conditional 13 bivariate distributions corresponding to the edges of the vine. In this way a distribution is sampled which corresponds exactly to the specification. The relation between conditional rank correlations on a vine and correlation matrix of corresponding distribution is 15 complex, and depends on the copula used. Some results for the elliptical copulae are given. © 2007 Elsevier B.V. All rights reserved. 17

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عنوان ژورنال:
  • Computational Statistics & Data Analysis

دوره 51  شماره 

صفحات  -

تاریخ انتشار 2007