Some positive dependence stochastic orders
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 copulæ, 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.
Year of publication: |
2006
|
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Authors: | Colangelo, Antonio ; Scarsini, Marco ; Shaked, Moshe |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 1, p. 46-78
|
Publisher: |
Elsevier |
Keywords: | Copula Frechet classes and bounds Marshall-Olkin distributions Farlie-Gumbel-Morgenstern distributions Archimedean copula Left tail decreasing (LTD) Right tail increasing (RTI) Multivariate total positivity Likelihood ratio order Lower orthant decreasing ratio (lodr) order Upper orthant increasing ratio (uoir) order |
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