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Some positive dependence stochastic orders

Author

Listed:
  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique, Dipartimento di Scienze Economiche e Aziendali - LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • Antonio Colangelo
  • Moshe Shaked

Abstract

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 copulae, 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.

Suggested Citation

  • Marco Scarsini & Antonio Colangelo & Moshe Shaked, 2006. "Some positive dependence stochastic orders," Post-Print hal-00539122, HAL.
    • Handle: RePEc:hal:journl:hal-00539122
    DOI: 10.1016/j.jmva.2004.11.006
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