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LTD and RTI dependence orderings. (English) Zbl 1066.62527
Summary: The authors show how the approach of P. Capéeraà and C. Genest [Can. J. Stat. 18, No. 4, 315–326 (1990; Zbl 0738.62057)] can be used to order bivariate distributions with arbitrary marginals by their degree of dependence in the LTD (left-tail decreasing) or RTI (right-tail increasing) sense. Some properties of these new orderings are given, along with applications to Archimedean copulas, order statistics and compound random variables.

62H05 Characterization and structure theory for multivariate probability distributions; copulas
60E15 Inequalities; stochastic orderings
62H20 Measures of association (correlation, canonical correlation, etc.)
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