Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
AbstractA Fréchet class collects all multivariate joint distribution functions that have the same marginals. Members of a Fréchet class only differ with respect to the interdependence between their marginals. In this paper, I study orders of interdependence on a Fréchet class using two multivariate generalizations of the bivariate rearrangement proposed by Epstein and Tanny (1980)  and Tchen (1980) . I show how these multivariate rearrangements are underlying multivariate first order stochastic dominance in terms of the joint distribution function and the survival function. A combination of both rearrangements is shown to be equivalent to the concordance order proposed by Joe (1990) .
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 147 (2012)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/inca/622869
Concordance order; Fréchet class; Multivariate rearrangements; Multivariate stochastic dominance; Orthant dependence order; Supermodular order;
Other versions of this item:
- DECANCQ, Koen, . "Elementary multivariate rearrangements and stochastic dominance on a Fréchet class," CORE Discussion Papers RP -2425, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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