Title
Elementary multivariate rearrangements and stochastic dominance on a Fréchet classElementary multivariate rearrangements and stochastic dominance on a Fréchet class
Author
Faculty/Department
Faculty of Social Sciences. Sociology
Research group
Herman Deleeck Centre for Social Policy
Publication type
article
Publication
New York, N.Y.,
Subject
Economics
Source (journal)
Journal of economic theory. - New York, N.Y.
Volume/pages
147(2012):4, p. 1450-1459
ISSN
0022-0531
ISI
000306348200007
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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].
E-info
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