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Some notions of multivariate positive dependence

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

The authors study new notions of positive dependence that are associated to multivariate stochastic orders of positive dependence introduced recently by Colangelo et al. [J. Multivar. Anal., to appear]. In particular, they discuss the relationship of these new notions to other existing concepts of positive dependence.

Suggested Citation

  • Marco Scarsini & Antonio Colangelo & Moshe Shaked, 2005. "Some notions of multivariate positive dependence," Post-Print hal-00539601, HAL.
    • Handle: RePEc:hal:journl:hal-00539601
    DOI: 10.1016/j.insmatheco.2004.09.004
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    References listed on IDEAS

    as
    1. Christofides, Tasos C. & Vaggelatou, Eutichia, 2004. "A connection between supermodular ordering and positive/negative association," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 138-151, January.
    2. 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.
    3. Müller, Alfred & Scarsini, Marco, 2000. "Some Remarks on the Supermodular Order," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
    4. George Kimeldorf & Allan Sampson, 1989. "A framework for positive dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(1), pages 31-45, March.
    5. Marco Scarsini & Alfred Muller, 2001. "Stochastic comparison of random vectors with a common copula," Post-Print hal-00540198, HAL.
    6. Block, Henry W. & Savits, Thomas H. & Shaked, Moshe, 1985. "A concept of negative dependence using stochastic ordering," Statistics & Probability Letters, Elsevier, vol. 3(2), pages 81-86, April.
    7. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    8. Alfred Müller & Marco Scarsini, 2001. "Stochastic Comparison of Random Vectors with a Common Copula," Mathematics of Operations Research, INFORMS, vol. 26(4), pages 723-740, November.
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