Stochastic dominance and statistical preference for random variables coupled by an Archimedean copula or by the Fr e ´ chet-Hoeffding upper bound

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• 作者：Ignacio Montes ^{imontes@uniovi.es" class="auth_mail" title="E-mail the corresponding author} ; Susana Montes ; ^{montes@uniovi.es" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60E15 ; 62H30
• 刊名：Journal of Multivariate Analysis
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：143
• 期：Complete
• 页码：275-298
• 全文大小：496 K

文摘

Stochastic dominance and statistical preference are stochastic orders with different interpretations: the former is based on the comparison of the marginal distributions while the latter is based on the joint distribution. Sklar’s Theorem allows expressing the joint distribution in terms of the marginals by means of a copula. This paper investigates the relationship between these two stochastic orders for comonotone random variables and random variables coupled by an Archimedean copula.