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CONDITIONAL EXPECTATION FORMULAE FOR COPULAS
Australian & New Zealand Journal of Statistics, 2008SummaryNot only are copula functions joint distribution functions in their own right, they also provide a link between multivariate distributions and their lower‐dimensional marginal distributions. Copulas have a structure that allows us to characterize all possible multivariate distributions, and therefore they have the potential to be a very useful ...
Crane, G., Van Der Hoek, J.
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Conditional Expectations and Idempotent Copulæ
2002Abstract A connection between conditional expectations and idempotent copulas is established. It is proved that there exists a one-to-one correspondence between conditional expectations and copulas that are idempotent with respect to the binary operation introduced by Darsow, Nguyen and Olsen.
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On the Optimality of Conditional Expectation as a Bregman Predictor
IEEE Transactions on Information Theory, 2005Arindam Banerjee
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Generalized conditional expectation for structural reliability assessment
Structural Safety, 1992Bilal M Ayyub
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Multivariate tail conditional expectation for elliptical distributions
Insurance: Mathematics and Economics, 2016Zinoviy Landsman +2 more
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Computing the variance of a conditional expectation via non-nested Monte Carlo
Operations Research Letters, 2017Takashi Goda
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