Dispersive effect of cross-aging with archimedean copulas

Michel M. Denuit (1) , Mhamed Mesfioui (2)

1 Institut de statistique
2 Département de mathématiques et d'informatique

In this paper, we compare conditional distributions derived from bivariate archimedean copulas in terms of their respective variability using the dispersive stochastic order. Specifically, we fix the underlying copula and we consider the effect of increasing the second component on the variability of the conditional distribution of the first component. Characterizations are provided in terms of the generator and of the marginal distributions. Several examples involving standard parametric copulas such as Clayton and Frank are discussed.

Mots clés: 60E15; Copula; Dependence; Dispersive order

Domaines: Bio-informatique [q-bio.QM]; Bio-Informatique, Biologie Systémique [q-bio.QM]

Michel M. Denuit, Mhamed Mesfioui. Dispersive effect of cross-aging with archimedean copulas. Statistics and Probability Letters, 2011, 81 (9), pp.1407. ⟨10.1016/j.spl.2011.04.011⟩. ⟨hal-00762902⟩