A connection between supermodular ordering and positive/negative association

Tasos C. Christofides and Eutichia Vaggelatou

Journal of Multivariate Analysis, 2004, vol. 88, issue 1, 138-151

Abstract: In this paper, we show that a vector of positively/negatively associated random variables is larger/smaller than the vector of their independent duplicates with respect to the supermodular order. In that way, we solve an open problem posed by Hu (Chinese J. Appl. Probab. Statist. 16 (2000) 133) refering to whether negative association implies negative superadditive dependence, and at the same time to an open problem stated in Müller and Stoyan (Comparison Methods for Stochastic Modes and Risks, Wiley, Chichester, 2002) whether association implies positive supermodular dependence. Therefore, some well-known results concerning sums and maximum partial sums of positively/negatively associated random variables are obtained as an immediate consequence. The aforementioned result can be exploited to give useful probability inequalities. Consequently, as an application we provide an improvement of the Kolmogorov-type inequality of Matula (Statist. Probab. Lett. 15 (1992) 209) for negatively associated random variables. Moreover, a Rosenthal-type inequality for associated random variables is presented.

Keywords: Convex; order; Increasing; convex; order; Supermodular; order; Positive; and; negative; association; Kolmogorov-type; inequalities; Rosenthal; inequalities (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (27)

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