Stochastic comparisons and bounds for conditional distributions by using copula properties-Reference-Cited by-同舟云学术

Stochastic comparisons and bounds for conditional distributions by using copula properties

Published:2018-07-25 Issue:1 Volume:6 Page:156-177
ISSN:2300-2298
Container-title:Dependence Modeling
language:
Short-container-title:

Author:

Navarro Jorge¹,Sordo Miguel A.²

Affiliation:

1. 1Facultad de Matemáticas, Universidad de Murcia, 30100Murcia, Spain

2. 2Universidad de Cádiz, Cádiz, Spain

Abstract

Abstract 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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2018-0010/pdf

Reference36 articles.

1. On Conditional Value at Risk for tail - dependent copulas Depend Model;Jaworski,2017

2. Global dependence stochastic orders;Shaked;Methodol Comput Appl,2012

3. Comparisons and bounds for expected lifetimes of reliability systems;Navarro;Eur Oper Res,2010

4. bounds on the expectations of expressed in the Gini mean difference units Statist Theory;Kozyra;statistics Methods,2017

5. ρ is larger than τ for positively dependent random variables;Capéraà;Nonparametr Stat,1993

Cited by 17 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stochastic orders and distortion risk contribution ratio measures;Insurance: Mathematics and Economics;2024-09

2. Probability equivalent level for CoVaR and VaR;Insurance: Mathematics and Economics;2024-03

3. Dependence among order statistics for time-transformed exponential models;Probability in the Engineering and Informational Sciences;2023-10-05

4. On connections between skewed, weighted and distorted distributions: applications to model extreme value distributions;TEST;2023-08-05

5. Stochastic comparisons of conditional residual lifetimes with applications;Quality Technology & Quantitative Management;2022-10-24