Some Positive Dependence Orderings involving Tail Dependence

Colangelo Antonio
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Colangelo Antonio: Department of Economics, University of Insubria, Italy

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: In this paper we discuss the properties of the orderings of positive dependence introduced by Hollander et al. (1990) as generalizing the bivariate positive dependence concepts of left-tail decreasing (LTD) and right-tail increasing (RTI) studied by Esary and Proschan (1972). We show which of the postulates proposed by Kimeldorf and Sampson (1987) for a reasonable positive dependence ordering are satisfied and how the orders can be studied by restricting them to copulas, and we give some examples. We also investigate the relationship of these orders with some other orderings which have appeared in the literature and generalize the same notions of positive dependence

Keywords: Copula; Fréchet class; positive dependence stochastic ordering; right-tail decreasing (RTI); left-tail decreasing (LTD) (search for similar items in EconPapers)
Pages: 17 pages
Date: 2006-01
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0601

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