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Dependence Properties of Conditional Distributions of some Copula Models

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  • Harry Joe

    (University of British Columbia)

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.

Suggested Citation

  • Harry Joe, 2018. "Dependence Properties of Conditional Distributions of some Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 975-1001, September.
    • Handle: RePEc:spr:metcap:v:20:y:2018:i:3:d:10.1007_s11009-017-9544-9
    DOI: 10.1007/s11009-017-9544-9
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    References listed on IDEAS

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    Cited by:

    1. Roger M. Cooke & Harry Joe & Bo Chang, 2020. "Vine copula regression for observational studies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 141-167, June.

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