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Conditional orderings and positive dependence

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  • Colangelo, Antonio
  • Hu, Taizhong
  • Shaked, Moshe

Abstract

Every univariate random variable is smaller, with respect to the ordinary stochastic order and with respect to the hazard rate order, than a right censored version of it. In this paper we attempt to generalize these facts to the multivariate setting. It turns out that in general such comparisons do not hold in the multivariate case, but they do under some assumptions of positive dependence. First we obtain results that compare the underlying random vectors with respect to the usual multivariate stochastic order. A larger slew of results, that yield comparisons of the underlying random vectors with respect to various multivariate hazard rate orders, is given next. Some comparisons with respect to the orthant orders are also discussed.

Suggested Citation

  • Colangelo, Antonio & Hu, Taizhong & Shaked, Moshe, 2008. "Conditional orderings and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 358-371, March.
  • Handle: RePEc:eee:jmvana:v:99:y:2008:i:3:p:358-371
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    References listed on IDEAS

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    1. Lindqvist, Bo Henry, 1988. "Association of probability measures on partially ordered spaces," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 111-132, August.
    2. Hu, Taizhong & Khaledi, Baha-Eldin & Shaked, Moshe, 2003. "Multivariate hazard rate orders," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 173-189, January.
    3. Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2006. "Some positive dependence stochastic orders," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 46-78, January.
    4. Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2005. "Some notions of multivariate positive dependence," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 13-26, August.
    5. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
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    Cited by:

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    3. Cai, Jun & Wei, Wei, 2012. "Optimal reinsurance with positively dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 57-63.
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    6. Indranil Ghosh & Osborne Banks, 2021. "A Study of Bivariate Generalized Pareto Distribution and its Dependence Structure Among Model Parameters," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 575-604, November.

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