On a construction of multivariate distributions given some multidimensional marginals

Nabil Kazi-Tani (1) , Didier Rullière (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

In this paper, we investigate the link between the joint law of a d-dimensional random vector and the law of some of its multivariate marginals. We introduce and focus on a class of distributions, that we call projective, for which we give detailed properties. This allows us to obtain conditions that are easy to verify, to ensure that a given construction is projective. We illustrate our results on elliptical distributions on the first hand, and on a new class of distribution having given bivariate exponential margins on the other hand.

Mots clés: Multidimensional marginals; Copulas; Elliptical Distributions

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Nabil Kazi-Tani, Didier Rullière. On a construction of multivariate distributions given some multidimensional marginals. 2017. ⟨hal-01575169v1⟩