Elementary multivariate rearrangements and stochastic dominance on a Fréchet class

A-Tier
Journal: Journal of Economic Theory
Year: 2012
Volume: 147
Issue: 4
Pages: 1450-1459

Score contribution per author:

4.036 = (α=2.02 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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].

Technical Details

RePEc Handle
repec:eee:jetheo:v:147:y:2012:i:4:p:1450-1459
Journal Field
Theory
Author Count
1
Added to Database
2026-01-25