Stochastic comparisons and bounds for conditional distributions by using copula properties

Stochastic comparisons and bounds for conditional distributions by using copula properties

We prove that different conditional distributions can be represented as distorted distributions. These representations are used to obtain stochastic comparisons and bounds for them based on properties of the underlying copula. These properties can be used to explain the meaning of mathematical prope...

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Bibliographic Details
Published in:Dependence modeling Vol. 6; no. 1; pp. 156 - 177
Main Authors: Navarro, Jorge, Sordo, Miguel A.
Format: Journal Article
Language:English
Published: Sciendo 25-07-2018
De Gruyter
Subjects:
60E15
62K10
90B25
bounds
Conditional distributions
copula
distorted distributions
stochastic orders
Online Access:Get full text
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Description
Summary:We prove that different conditional distributions can be represented as distorted distributions. These representations are used to obtain stochastic comparisons and bounds for them based on properties of the underlying copula. These properties can be used to explain the meaning of mathematical properties of copulas connecting them with dependence concepts. Some applications and illustrative examples are provided as well.
ISSN:2300-2298
2300-2298
DOI:10.1515/demo-2018-0010