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.
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Volume (Year): 97 (2006)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Marco Dall’Aglio & Marco Scarsini, 2000.
"Zonoids, Linear Dependence, and Size-Biased Distributions on the Simplex,"
ICER Working Papers - Applied Mathematics Series
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- Collet, Pierre & López, F. Javier & Martínez, Servet, 2003. "Order relations of measures when avoiding decreasing sets," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 165-175, November.
- 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.
- Marco Scarsini & Antonio Colangelo & Moshe Shaked, 2005. "Some notions of multivariate positive dependence," Post-Print hal-00539601, HAL.
- 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. Full references (including those not matched with items on IDEAS)
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