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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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    References listed on IDEAS

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    1. François Baccelli & Armand M. Makowski, 1989. "Multidimensional Stochastic Ordering and Associated Random Variables," Operations Research, INFORMS, vol. 37(3), pages 478-487, June.
    2. Marco Dall’Aglio & Marco Scarsini, 2000. "Zonoids, Linear Dependence, and Size-Biased Distributions on the Simplex," ICER Working Papers - Applied Mathematics Series 27-2003, ICER - International Centre for Economic Research, revised Jul 2003.
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    4. Hu, Taizhong & Khaledi, Baha-Eldin & Shaked, Moshe, 2003. "Multivariate hazard rate orders," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 173-189, January.
    5. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities II. Multivariate reverse rule distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 499-516, December.
    6. Shaked, Moshe & Shanthikumar, J. George, 1997. "Supermodular Stochastic Orders and Positive Dependence of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 86-101, April.
    7. Collet, Pierre & López, F. Javier & Martínez, Servet, 2003. "Order relations of measures when avoiding decreasing sets," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 165-175, November.
    8. Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2005. "Some notions of multivariate positive dependence," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 13-26, August.
    9. 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.
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