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Multivariate distributions with support above the diagonal

Jones, M. C. and Larsen, P. V. (2004). Multivariate distributions with support above the diagonal. Biometrika, 91(4) pp. 975–986.

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A general family of distributions for the empirical modelling of ordered multivariate data is proposed. The family is based on, but greatly extends, the joint distribution of order statistics from an independent and identically distributed univariate sample. General properties, including marginal and conditional distributions, bivariate dependence, limiting distributions and links to the Dirichlet distribution are described. Univariate and bivariate special cases of the multivariate distributions, the latter including an equivalent rotated version, are considered. Two particular tractable special cases are stressed. The models are successfully and usefully fitted, by maximum likelihood, to meteorological data. The models are also applicable to data in which one variable is unconstrained and the other are all nonnegative.

Item Type: Journal Item
Copyright Holders: 2004 Biometrika Trust
ISSN: 1464-3510
Keywords: bivariate gamma distribution; Dirichlet distribution; extreme value distribution; half-plane; joint distribution of order statistics; log
Academic Unit/School: Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
Faculty of Science, Technology, Engineering and Mathematics (STEM)
Item ID: 2134
Depositing User: M. C. Jones
Date Deposited: 05 Jun 2006
Last Modified: 07 Dec 2018 08:51
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