A new dependence ordering with applications

作者：Kochar Subhash^*; Xu Maochao

来源：Journal of Multivariate Analysis, 2008, 99(9): 2172-2184.

DOI：10.1016/j.jmva.2008.02.009

• Convex transform ordering
• Reverse hazard rate
• Dispersive ordering
• Order statistics
• k-record values
• Frailty model
• Star ordering

In this paper, we introduce a new copula-based dependence order to compare the relative degree of dependence between two pairs of random variables. Relationship of the new order to the existing dependence orders is investigated. In particular, the new ordering is stronger than the partial ordering, more monotone regression dependence as developed by Averous et al. [J. Averous, C. Genest, S.C. Kochar, On dependence structure of order statistics, Journal of Multivariate Analysis 94 (2005) 159-171]. Applications of this partial order to order statistics, k-record values and frailty models are given.

• 出版日期2008-10