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ArticleOn the dependence structure of order statistics

Jean Avérous2004

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Articlebronze2004

On the dependence structure of order statistics

Jean Avérous · Christian Genest · Subhash C. Kochar

54 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1999An Introduction to Copulas 2006An Introduction to Copulas (Springer Series in Statistics)2001Correlation and Dependence 1998Multivariate Models and Dependence Concepts 1984On measures of concordance 1993Spearman's ρ is larger than kendall's τ for positively dependent random variables

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2009On the relationships between copulas of order statistics and marginal distributions 2007An application of Kendall distributions and alternative dependence measures: SPX vs. VIX 2016A Bivariate Semiparametric Control Chart Based on Order Statistics

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Year2004

Typearticle

Published2004-05-08

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2004.03.004

openalex_workW1995379344

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