Elementary multivariate rearrangements and stochastic dominance on a Fréchet class
(2012) Journal of Economic Theory — Vol. 147, n° 4, p. 1450-1459 (2012)
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- 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.
- Affiliations
Katholieke Universiteit Leuven Center for Economic Studies
Citations
Decancq, K. (2012). Elementary multivariate rearrangements and stochastic dominance on a Fréchet class. Journal of Economic Theory, 147(4), 1450-1459. https://doi.org/10.1016/j.jet.2011.11.001 (Original work published 2012)