Some remarks on the supermodular order - Archive ouverte HAL Access content directly
Journal Articles Journal of Multivariate Analysis Year : 2000

Some remarks on the supermodular order

(1, 2) ,
1
2

Abstract

In this paper we solve two open problems posed by Joe (1997) concerning the supermodular order. First we give an example which shows that the supermodular order is strictly stronger than the concordance order for dimension d=3. Second we show that the supermodular order fulfils all desirable properties of a multivariate positive dependence order. We especially prove the non-trivial fact that it is closed with respect to weak convergence. This is applied to give a complete characterization of the supermodular order for multivariate normal distributions.

Dates and versions

hal-00540239 , version 1 (26-11-2010)

Identifiers

Cite

Marco Scarsini, Alfred Muller. Some remarks on the supermodular order. Journal of Multivariate Analysis, 2000, Vol. 73, N°1, pp. 107-119. ⟨10.1006/jmva.1999.1867⟩. ⟨hal-00540239⟩

Collections

HEC CNRS
68 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More