Directional Dependence Orders of Random Vectors

Enrique de Amo, María del Rosario Rodríguez-Griñolo and Manuel Úbeda-Flores ()
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Enrique de Amo: Department of Mathematics, University of Almería, 04120 Almería, Spain
María del Rosario Rodríguez-Griñolo: Department of Economics, Quantitative Methods and Economic History, Pablo de Olavide University, 41013 Seville, Spain
Manuel Úbeda-Flores: Department of Mathematics, University of Almería, 04120 Almería, Spain

Mathematics, 2024, vol. 12, issue 3, 1-14

Abstract: In this paper, we define a multivariate order based on the concept of orthant directional dependence and study some of its properties. The relationships with other dependence orders given in the literature are also studied. We analyze the order between two random vectors in terms of their associated copulas and illustrate our results with several examples.

Keywords: copula; dependence concept; directional coefficient; stochastic order (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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