Elementary multivariate rearrangements and stochastic dominance on a Fréchet class

Koen Decancq

Journal of Economic Theory, 2012, vol. 147, issue 4, 1450-1459

Abstract: A Fréchet class collects all multivariate joint distribution functions that have the same marginals. Members of a Fréchet class only differ with respect to the interdependence between their marginals. In this paper, I study orders of interdependence on a Fréchet class using two multivariate generalizations of the bivariate rearrangement proposed by Epstein and Tanny (1980) [4] and Tchen (1980) [16]. I show how these multivariate rearrangements are underlying multivariate first order stochastic dominance in terms of the joint distribution function and the survival function. A combination of both rearrangements is shown to be equivalent to the concordance order proposed by Joe (1990) [9].

Keywords: Concordance order; Fréchet class; Multivariate rearrangements; Multivariate stochastic dominance; Orthant dependence order; Supermodular order (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (35)

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Working Paper: Elementary multivariate rearrangements and stochastic dominance on a Fréchet class (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:147:y:2012:i:4:p:1450-1459

DOI: 10.1016/j.jet.2011.11.001

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