Shuffle of min’s random variable approximations of bivariate copulas’ realization

Yanting Zheng, Jingping Yang and Jianhua Z. Huang

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 10, 2337-2350

Abstract: The comonotonicity and countermonotonicity provide intuitive upper and lower dependence relationship between random variables. This paper constructs the shuffle of min’s random variable approximations for a given Uniform [0, 1] random vector. We find the two optimal orders under which the shuffle of min’s random variable approximations obtained are shown to be extensions of comonotonicity and countermonotonicity. We also provide the rate of convergence of these random vectors approximations and apply them to compute value-at-risk.

Date: 2018
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DOI: 10.1080/03610926.2014.964808

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