Global Dependence Stochastic Orders

Moshe Shaked (), Miguel A. Sordo and Alfonso Suárez-Llorens
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Moshe Shaked: University of Arizona
Miguel A. Sordo: Universidad de Cádiz
Alfonso Suárez-Llorens: Universidad de Cádiz

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 3, 617-648

Abstract: Abstract Two basic ideas, that give rise to global dependence stochastic orders, are introduced and studied. The similarities and differences between the resulting global dependence orders, and the known common positive dependence orders, are discussed. Some desirable properties that global dependence orders may expected to satisfy are listed and checked. Three particular global dependence orders, that come up from the two general ideas, are studied in detail. It is shown, among other things, how these orders can be verified. Finally, some applications in auction theory, in reliability theory, and in economics, are described.

Keywords: Positive dependence; Convex order; Dispersive order; Increasing rearrangement; Jensen’s inequality; Auction theory; Reliability theory; Gini covariance; Gini correlation; Absolute concentration curve; 60E15; 91B26; 62P20; 60K10 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s11009-011-9253-8

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