Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
A 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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- Meyer, Margaret & Strulovici, Bruno, 2012.
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- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Müller, Alfred & Scarsini, Marco, 2000. "Some Remarks on the Supermodular Order," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
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