QUASI-CONCAVITY PROPERTY OF MULTIVARIATE DISTRIBUTION FUNCTIONS

Authors

  • Luisa Tibiletti Dipartimento di Statistica e Matematica applicata alle scienze umane Diego de Castro", Università di Torino, Piazza Arbarello 8, 1-10122 Torino

Keywords:

Ellipticallv contoured distributions, Archimedean copula, quasi-concavity conditions.

Abstract

Conditions under which multivariate distribution functions are quasi-concave, are explored. We prove that many elliptically contoured distributions have quasi-concave distribution functions. By some characterisations of the copula, further classes are provided. A few probability inequalities are also suggested.

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Published

1995-12-18

Issue

Vol. 9 (1995)

Section

Volume 9-1995

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