Elementary multivariate rearrangements and stochastic dominance on a Frechet class

• 成果类型: Article
• 署名作者: Decancq, Koen
• 署名单位: KU Leuven; Universite Catholique Louvain; University of Antwerp
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.11.001
• 发表日期: 2012
• 页码: 1450-1459
• 关键词: Concordance order; Frechet class; Multivariate rearrangements; Multivariate stochastic dominance; Orthant dependence order; Supermodular order

摘要

A Frechet class collects all multivariate joint distribution functions that have the same marginals. Members of a Frechet class only differ with respect to the interdependence between their marginals. In this paper, I study orders of interdependence on a Frechet class using two multivariate generalizations of the bivariate rearrangement proposed by Epstein and Tanny (1980) [4] and Tchen (1980) [16]. I show how these multivariate rearrangements are underlying multivariate first order stochastic dominance in terms of the joint distribution function and the survival function. A combination of both rearrangements is shown to be equivalent to the concordance order proposed by Joe (1990) [9]. (c) 2011 Elsevier Inc. All rights reserved.