The TP2 ordering of Kimeldorf and Sampson has the normal-agreeing property

Christian Genest and François Verret

Statistics & Probability Letters, 2002, vol. 57, issue 4, 387-391

Abstract: Kimeldorf and Sampson (Ann. Inst. Statist. Math. 39 (1987) 113) proposed a positive dependence ordering that extends the TP2 concept of dependence defined for bivariate distributions by Block et al. (Ann. Probab. 10 (1982) 765). It is shown here that in this ordering, the bivariate normal distributions with given means and variances are ordered by their correlation coefficient. It is also pointed out that except possibly for the Ali-Mikhail-Haq and Gumbel-Barnett families, none of the common classes of Archimedean copulas meets the TP2 condition of Kimeldorf and Sampson.

Keywords: Copula; Positive; quadrant; dependence; Total; positivity; of; order; two; TP2; ordering (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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