Kendall distribution functions

If X and Y are continuous random variables with joint distribution function H, then the Kendall distribution function of ( X, Y) is the distribution function of the random variable H( X, Y). Kendall distribution functions arise in the study of stochastic orderings of random vectors. In this paper we...

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Bibliographic Details
Published in:Statistics & probability letters 2003-11, Vol.65 (3), p.263-268
Main Authors: Nelsen, Roger B., Quesada-Molina, José Juan, Rodrı́guez-Lallena, José Antonio, Úbeda-Flores, Manuel
Format: Article
Language:English
Subjects:
Copulas
Copulas Distribution functions Kendall's tau Stochastic orderings
Distribution functions
Distribution theory
Exact sciences and technology
Kendall's tau
Mathematics
Multivariate analysis
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Statistics
Stochastic orderings
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Summary:If X and Y are continuous random variables with joint distribution function H, then the Kendall distribution function of ( X, Y) is the distribution function of the random variable H( X, Y). Kendall distribution functions arise in the study of stochastic orderings of random vectors. In this paper we study various properties of Kendall distribution functions for both populations and samples.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2003.08.002