On the cycle-transitive comparison of artificially coupled random variables (Q2270394)
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scientific article; zbMATH DE number 5683161
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| English | On the cycle-transitive comparison of artificially coupled random variables |
scientific article; zbMATH DE number 5683161 |
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On the cycle-transitive comparison of artificially coupled random variables (English)
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18 March 2010
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A probability relation is built for comparing two random variables from a given collection of random variables. In order to compute the probability in consideration, the random variables are artificially coupled by means of a fixed commutative copula. The main result of the paper pertains to the transitivity of this probabilistic relation. Provided the commutative copula satisfies some additional condition, this transitivity can be described within the cycle-transitivity framework. It ranges between two types of transitivity: \(T_L\)-transitivity and partial stochastic transitivity.
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comparison of random variables
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copulas
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cycle-transitivity
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frank copula
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probabilistic relation
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transitivity
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0.8120316863059998
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0.8107353448867798
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0.8043261170387268
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