Carolyne Brito

Conditional copula representations and extremal bounds for multivariate statistical functionals

In this paper, we derive a conditional copula representation for expectations of the form $\mathbb{E}[g(\boldsymbol{X})]$, where $\boldsymbol{X}$ is a random vector with arbitrary marginal distributions and $g$ is a measurable function satisfying suitable integrability conditions. The proposed representation explicitly...