On multivariate dispersion orderings based on the standard construction

Félix Belzunce, José M. Ruiz and Alfonso Suárez-Llorens

Statistics & Probability Letters, 2008, vol. 78, issue 3, 271-281

Abstract: We study the relationship between the multivariate dispersive orders based on the standard construction. In particular those given by Shaked and Shanthikumar [1998. Two variability orders. Probab. Eng. Inform. Sci. 12, 1-23] and Fernández-Ponce and Suárez-Llorens [2003. A multivariate dispersion ordering based on quantiles more widely separated. J. Multivariate Anal. 85, 40-53]. In order to reach our objective we define a new weaker multivariate dispersive notion. Random vectors with a common copula and positive dependence properties are analyzed.

Keywords: Univariate; and; multivariate; dispersive; orders; St:icx; order; Convolutions; Models; of; ordered; random; variables (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (9)

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