Directional Dependence Orders of Random Vectors-Reference-Cited by-同舟云学术

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Directional Dependence Orders of Random Vectors

Published:2024-01-27 Issue:3 Volume:12 Page:419
ISSN:2227-7390
Container-title:Mathematics
language:en
Short-container-title:Mathematics

Author:

de Amo Enrique¹,Rodríguez-Griñolo María del Rosario²^ORCID,Úbeda-Flores Manuel¹^ORCID

Affiliation:

1. Department of Mathematics, University of Almería, 04120 Almería, Spain

2. Department of Economics, Quantitative Methods and Economic History, Pablo de Olavide University, 41013 Seville, Spain

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.

Publisher

MDPI AG

Link

https://www.mdpi.com/2227-7390/12/3/419/pdf

Reference37 articles.

1. Concepts of dependence;Kotz;Encyclopedia of Statistical Sciences,1982

2. Some positive dependence stochastic orders;Colangelo;J. Multivar. Anal.,2006

3. Some notions of multivariate positive dependence;Colangelo;Insur. Math. Econ.,2005

4. Nelsen, R.B. (2006). An Introduction to Copula, Springer. [2nd ed.].

5. Joe, H. (1997). Multivariate Models and Dependence Concepts, Chapman & Hall.

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