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Title
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Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
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Author
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Abstract
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| 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]. |
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Language
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English
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Source (journal)
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Journal of economic theory. - New York, N.Y.
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Publication
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New York, N.Y.
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2012
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ISSN
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0022-0531
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DOI
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10.1016/J.JET.2011.11.001
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Volume/pages
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147
:4
(2012)
, p. 1450-1459
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ISI
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000306348200007
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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