Multivariate extension of Raftery copula

• Main Authors: Saali, Tariq, Mhamed. Mesfioui, Mhamed. Mesfioui, Shabri, Ani
• Format: Article
• Language: English
• Published: MDPI 2023
• Subjects: QA Mathematics
• Online Access: http://eprints.utm.my/105664/1/TariqSaali2023_MultivariateExtensionofRafteryCopula.pdf; http://eprints.utm.my/105664/; http://dx.doi.org/10.3390/math11020414

This paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms of order statistics. Several properties of this copula are established. In particular, the multivariate Kendall’s tau and Spearman’s rho, as well as the density function, of t...