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Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
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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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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. : 2012
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0022-0531
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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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