|
Title
|
|
|
|
Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
|
|
|
Author
|
|
|
|
|
|
|
Abstract
|
|
|
|
| A Fréchet class collects all multivariate joint distribution functions that have the same marginals. Members of a Fréchet class only differ with respect to the interdependence between their marginals. In this paper, I study orders of interdependence on a Fréchet 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]. |
|
|
|
Language
|
|
|
|
English
|
|
|
Source (journal)
|
|
|
|
Journal of economic theory. - New York, N.Y.
|
|
|
Publication
|
|
|
|
New York, N.Y.
:
2012
|
|
|
ISSN
|
|
|
|
0022-0531
|
|
|
Volume/pages
|
|
|
|
147
:4
(2012)
, p. 1450-1459
|
|
|
ISI
|
|
|
|
000306348200007
|
|
|
Full text (Publisher's DOI)
|
|
|
|
|
|
|
Full text (publisher's version - intranet only)
|
|
|
|
|
|