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Central regions and dependency

  • K. Mosler

    (Universität zu Köln)

The paper introduces an approach to the ordering of dependence which is based on central regions. A d-variate probability distribution is described by a nested family of sets, called central regions. Those regions are affine equivariant, compact and starshaped and concentrate about a properly defined center. They can be seen as level sets of a depth function. Special cases are Mahalanobis, zonoid, and likelihood regions. A d-variate distribution is called more dependent than another one if the volume of each central region is smaller with the first distribution. This dependence order is characterized by an inequality between determinants of certain parameter matrices if either (i) F and G are arbitrary distributions and the central regions are Mahalanobis or (ii) F and G belong to an elliptical family of distributions and the central regions are arbitrary. If the regions are zonoid regions, the dependence order implies the ordering of lift zonoid volumes. Alternatively, the dependence order is applied to the copulae of the given distributions. Generalized correlation indices are proposed which are increasing with the dependence orders.

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Paper provided by EconWPA in its series Econometrics with number 0309004.

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Length: 16 pages
Date of creation: 15 Sep 2003
Date of revision:
Handle: RePEc:wpa:wuwpem:0309004
Note: Type of Document - Post Script; pages: 16 ; figures: included. This is a preprint of an article accepted for publication in "Methology and Computing in Applied Probability"
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  1. Dall'Aglio, Marco & Scarsini, Marco, 2001. "When Lorenz met Lyapunov," Statistics & Probability Letters, Elsevier, vol. 54(1), pages 101-105, August.
  2. Hannu Oja, 1999. "Affine Invariant Multivariate Sign and Rank Tests and Corresponding Estimates: a Review," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(3), pages 319-343.
  3. Koshevoy, Gleb & Mosler, Karl, 1995. "Multivariate Gini indices," Discussion Papers in Econometrics and Statistics 7/95, University of Cologne, Institute of Econometrics and Statistics.
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