Positive dependence and weak convergence

Marco Scarsini, A. Colangelo and Alfred Müller

Post-Print from HAL

Abstract: A more general definition of MTP2 (multivariate total positivity of order 2) probability measure is given, without assuming the existence of a density. Under this definition the class of MTP2 measures is proved to be closed under weak convergence. Characterizations of the MTP2 property are proved under this more general definition. Then a precise definition of conditionally increasing measure is provided, and closure under weak convergence of the class of conditionally increasing measures is proved. As an application we investigate MTP2 properties of stationary distributions of Markov chains, which are of interest in actuarial science.

Keywords: Affiliation; MTP_2; conditionally increasing in sequence; conditionally increasing (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Applied Probability, 2006, Vol. 43, N°1, pp.48-59. ⟨10.1239/jap/1143936242⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00539004

DOI: 10.1239/jap/1143936242

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().