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Conditional Mean and Conditional Variance for Two Bivariate Parametric Copulas

Huanwen Tang

Abstract

This paper obtains the basic properties of the density functions and derives the conditional means and conditional variances for the well-known Farlie-Gumbel-Morgenstern and Gumbel-Hougaard bivariate parametric copulas whose marginals are standard uniform distribution U(0,1).In addition,this paper compares and expresses their corresponding figures of the conditional means and conditional variances with different parameter values.

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Available abstract

Key concepts: Conditional variance, Gumbel distribution, Conditional probability distribution, Bivariate analysis, Mathematics, Copula (linguistics), Econometrics, Conditional expectation