Title of article :
Some positive dependence stochastic orders
Author/Authors :
Colangelo، نويسنده , , Antonio and Scarsini، نويسنده , , Marco and Shaked، نويسنده , , Moshe، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2006
Abstract :
In this paper we study some stochastic orders of positive dependence that arise when the underlying random vectors are ordered with respect to some multivariate hazard rate stochastic orders, and have the same univariate marginal distributions. We show how the orders can be studied by restricting them to copulae, we give a number of examples, and we study some positive dependence concepts that arise from the new positive dependence orders. We also discuss the relationship of the new orders to other positive dependence orders that have appeared in the literature.
Keywords :
Right tail increasing (RTI) , Left tail decreasing (LTD) , Multivariate total positivity , Lower orthant decreasing ratio (lodr) order , Upper orthant increasing ratio (uoir) order , Likelihood ratio order , Copula , Fréchet classes and bounds , Marshall–Olkin distributions , Farlie–Gumbel–Morgenstern distributions , Archimedean copula
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis