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

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  • Yanting Zheng
  • Jingping Yang
  • Jianhua Z. Huang

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.

Suggested Citation

  • Yanting Zheng & Jingping Yang & Jianhua Z. Huang, 2018. "Shuffle of min’s random variable approximations of bivariate copulas’ realization," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(10), pages 2337-2350, May.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:10:p:2337-2350
    DOI: 10.1080/03610926.2014.964808
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