×

zbMATH — the first resource for mathematics

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.

MSC:
62H05 Characterization and structure theory for multivariate probability distributions; copulas
60E15 Inequalities; stochastic orderings
62H20 Measures of association (correlation, canonical correlation, etc.)
PDF BibTeX XML Cite
Full Text: DOI