Association and concordance measures

September 12, 2012 | arthur charpentier

Following the course, in order to define assocation measures (from Kruskal (1958)) or concordance measures (from Scarsini (1984)), define a concordance function as follows: let be a random pair with copula , and with copula . Then define the so-... [Read more...]

MAT8886 the Dirichlet distribution

February 15, 2012 | arthur charpentier

In the course, still introducing some concept of dependent distributions, we will talk about the Dirichlet distribution (which is a distribution over the simplex of ). Let denote the Gamma distribution with density (on ) Let denote independent... [Read more...]

In search of a random gamma variate…

March 16, 2010 | M. Parzakonis

One of the most common exersices given to Statistical Computing,Simulation or relevant classes is the generation of random numbers from a gamma distribution. At first this might seem straightforward in terms of the lifesaving relation that exponential and gamma random variables share. So, it’s easy to get a ... [Read more...]

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