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Multivariate measures of positive dependence

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Author Info
Marta Cardin () (Department of Applied Mathematics, University of Venice)

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Abstract

In this paper a set of desirable properties for measures of positive dependence of ordered n-tuples of continuous random variables (n >= 2) is proposed and a class of multivariate positive dependence measures is introduced. We consider the comonotonicity dependence structure as the strong dependency structure and so the class consists of measures that take values in the range [0, 1] and are defined in such a way that they equal 1 in case the random vector is comonotonic and equal 0 in case it is independent.

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File URL: http://www.dma.unive.it/wpdma/2008wp166.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Paper provided by Department of Applied Mathematics, University of Venice in its series Working Papers with number 166.

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Length: 9 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:vnm:wpaper:166

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D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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