The TP2 ordering of Kimeldorf and Sampson has the normal-agreeing property
Kimeldorf and Sampson (Ann. Inst. Statist. Math. 39 (1987) 113) proposed a positive dependence ordering that extends the TP2 concept of dependence defined for bivariate distributions by Block et al. (Ann. Probab. 10 (1982) 765). It is shown here that in this ordering, the bivariate normal distributions with given means and variances are ordered by their correlation coefficient. It is also pointed out that except possibly for the Ali-Mikhail-Haq and Gumbel-Barnett families, none of the common classes of Archimedean copulas meets the TP2 condition of Kimeldorf and Sampson.
Volume (Year): 57 (2002)
Issue (Month): 4 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:57:y:2002:i:4:p:387-391. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.