Publication
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)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 13.09.2012
Last edited 20.11.2017
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