On the dependence structure of order statistics

Jean Avérous, Christian Genest and Subhash C. Kochar

Journal of Multivariate Analysis, 2005, vol. 94, issue 1, 159-171

Abstract: Given a random sample from a continuous variable, it is observed that the copula linking any pair of order statistics is independent of the parent distribution. To compare the degree of association between two such pairs of ordered random variables, a notion of relative monotone regression dependence (or stochastic increasingness) is considered. Using this concept, it is proved that for i

Keywords: Concordance; ordering; Dispersive; ordering; Exponential; distribution; Kendall's; tau; Monotone; regression; dependence; Spearman's; rho; Stochastic; increasingness (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (12)

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