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MULTIVARIATE DISPERSION ORDER AND THE NOTION OF COPULA APPLIED TO THE MULTIVARIATE t-DISTRIBUTION

Published online by Cambridge University Press:  22 June 2005

J. P. Arias-Nicolás ,
J. M. Fernández-Ponce ,
P. Luque-Calvo  and
A. Suárez-Llorens
J. P. Arias-Nicolás
Affiliation:
Department of Mathematics, University of Extremadura, Extremadura, Spain, E-mail: [email protected]
J. M. Fernández-Ponce
Affiliation:
Department of Statistics, University of Sevilla, 41013 Sevilla, Spain, E-mail: [email protected]; [email protected]
P. Luque-Calvo
Affiliation:
Department of Statistics, University of Sevilla, 41013 Sevilla, Spain, E-mail: [email protected]; [email protected]
A. Suárez-Llorens
Affiliation:
Department of Statistics, University of Cádiz, 11002 Cádiz, Spain, E-mail: [email protected]
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Abstract

We study the concept of multivariate dispersion order, defined as the existence of an expansion function that maps a random vector to another one, for multivariate distributions with the same dependence structure. As a particular case, we can order the multivariate t-distribution family in dispersion sense. Finally, we use these results in the problem of detection and characterization of influential observations in regression analysis. This problem can often be used to compare two multivariate t-distributions.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 19 , Issue 3 , July 2005 , pp. 363 - 375
Copyright
© 2005 Cambridge University Press

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References

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