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LTD and RTI dependence orderings
Author(s) -
Averous Jean,
DortetBernadet JeanLuc
Publication year - 2000
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315794
Subject(s) - bivariate analysis , mathematics , copula (linguistics) , tail dependence , statistics , degree (music) , order (exchange) , econometrics , random variable , statistical physics , multivariate statistics , physics , economics , acoustics , finance
The authors show how the approach of Capéra à & Genest ( The Canadian Journal of Statistics , 1990) can be used to order bivariate distributions with arbitrary marginals by their degree of dependence in the LTD (left‐tail decreasing) or RTI (right‐tail increasing) sense. Some properties of these new orderings are given, along with applications to Archimedean copulas, order statistics and compound random variables.