Autore
Colangelo, Antonio

Titolo
Some positive dependence oderings involving tail dependence
Periodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2006 - Fascicolo: 1 - Pagina iniziale: 1 - Pagina finale: 15

In this paper we discuss the properties of the orderings of positive dependence introduced by Hollander et al. (1990) as generalizing the bivariate positive de- pendence concepts of left-tail decreasing (LTD) and right-tail increasing (RTI) studied by Esary and Proschan (1972). We show which of the postulates pro- posed by Kimeldorf and Sampson (1987) for a reasonable positive dependence ordering are satis¯ed and how the orders can be studied by restricting them to copulas, and we give some examples. We also investigate the relationship of these orders with some other orderings which have appeared in the literature and generalize the same notions of positive dependence.



Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2006_1.pdf

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