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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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  • Montes, Ignacio
  • Montes, Susana

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.

Suggested Citation

  • Montes, Ignacio & Montes, Susana, 2016. "Stochastic dominance and statistical preference for random variables coupled by an Archimedean copula or by the Fr e ´ chet–Hoeffding upper bound," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 275-298.
    • Handle: RePEc:eee:jmvana:v:143:y:2016:i:c:p:275-298
    DOI: 10.1016/j.jmva.2015.09.015
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    References listed on IDEAS

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    Cited by:

    1. Montes, Ignacio & Salamanca, Juan Jesús & Montes, Susana, 2020. "A modified version of stochastic dominance involving dependence," Statistics & Probability Letters, Elsevier, vol. 165(C).

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