Joint weak hazard rate order under non-symmetric copulas

Pellerey Franco and Spizzichino Fabio
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Pellerey Franco: Dipartimento di Scienze Matematiche, Politecnico di Torino, Corso Duca degli Abruzzi 24, I-10129 Torino, Italy
Spizzichino Fabio: Dipartimento di Matematica, Universitá La Sapienza, P.A. Moro 5, I-00185 Roma, Italy

Dependence Modeling, 2016, vol. 4, issue 1, 15

Abstract: A weak version of the joint hazard rate order, useful to stochastically compare not independent random variables, has been recently defined and studied in [4]. In the present paper, further results on this order are proved and discussed. In particular, some statements dealing with the relationships between the jointweak hazard rate order and other stochastic orders are generalized to the case of non symmetric copulas, and its relations with some multivariate aging notions (studied in [2]) are presented. For this purpose, the new notions of Generalized Supermigrative and Generalized Submigrative copulas are defined. Other new results, examples and discussions are provided as well.

Keywords: stochastic orders; copulas; dependence notions; generalized supermigrativity (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:15:n:10

DOI: 10.1515/demo-2016-0010

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