Dependence Properties of Conditional Distributions of some Copula Models

Harry Joe ()
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Harry Joe: University of British Columbia

Methodology and Computing in Applied Probability, 2018, vol. 20, issue 3, 975-1001

Abstract: Abstract For multivariate data from an observational study, inferences of interest can include conditional probabilities or quantiles for one variable given other variables. For statistical modeling, one could fit a parametric multivariate model, such as a vine copula, to the data and then use the model-based conditional distributions for further inference. Some results are derived for properties of conditional distributions under different positive dependence assumptions for some copula-based models. The multivariate version of the stochastically increasing ordering of conditional distributions is introduced for this purpose. Results are explained in the context of multivariate Gaussian distributions, as properties for Gaussian distributions can help to understand the properties of copula extensions based on vines.

Keywords: Factor model; Markov tree; Mixture of conditional distributions; Positive dependence; Stochastically increasing; Total positivity of order 2; Vine (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11009-017-9544-9

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