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

Ignacio Montes and Susana Montes

Journal of Multivariate Analysis, 2016, vol. 143, issue C, 275-298

Abstract: 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.

Keywords: Stochastic dominance; Statistical preference; Archimedean copula; Comonotone random variables; Countermonotone random variables (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2015.09.015

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