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.
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Volume (Year): 57 (2002)
Issue (Month): 4 (May)
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References listed on IDEAS
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- Z. Fang & H. Joe, 1992. "Further developments on some dependence orderings for continuous bivariate distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 44(3), pages 501-517, September.
- Takemi Yanagimoto & Masashi Okamoto, 1969. "Partial orderings of permutations and monotonicity of a rank correlation statistic," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 489-506, December.