Conditional copula representations and extremal bounds for multivariate statistical functionals

Abstract

In this paper, we derive a conditional copula representation for expectations of the form $\mathbb{E}[g(\mathbf{X})]$, where $\mathbf{X}$ is a random vector with arbitrary marginal distributions and $g$ is a measurable function satisfying suitable integrability conditions. The proposed representation explicitly separates the contributions of the marginal distributions and the dependence structure through conditional copula distributions, yielding a unified quantile--copula framework for a broad class of statistical functionals. This framework encompasses numerous quantities of practical interest, including moments, probabilities, dependence measures, inequality indices, entropy measures, and multivariate functionals. We further establish extremal bounds under fixed marginals by exploiting the concordance order on copulas and characterize the classes of functions for which these bounds apply through the notion of $\hat{I}”$-antitonicity. Finally, several illustrative examples illustrate the versatility of the proposed framework through applications to risk measures, stochastic superiority probabilities, information measures, and option pricing under dependence uncertainty.

11 pages

Topics & keywords