Conditionally ordered distributions

DOI10.1016/0047-259X(88)90118-2zbMath0649.62042OpenAlexW2082935212MaRDI QIDQ1105945

Allan R. Sampson, Henry W. Block

Publication date: 1988

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(88)90118-2

zbMATH Keywords

convex functionsmultivariate normal distributionFarlie-Gumbel-Morgenstern distributionelliptically contoured distributionsFGM distributionConditional positive and negative dependenceconditionally more dispersedconditionally more positively quadrant dependentorderings by dispersionorderings of multivariate distributionsquasi- monotone

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (14)

VaR bounds in models with partial dependence information on subgroups ⋮ Stochastic orderings for elliptical random vectors ⋮ Ordering Gini indexes of multivariate elliptical risks ⋮ Supermodular stochastic orders and positive dependence of random vectors ⋮ Stop-loss order for portfolios of dependent risks ⋮ Ordering results for elliptical distributions with applications to risk bounds ⋮ A multivariate dispersion ordering based on quantiles more widely separated ⋮ Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks ⋮ Some remarks on the supermodular order ⋮ Hessian orders and multinormal distributions ⋮ Stochastic orderings of multivariate elliptical distributions ⋮ Product-Type Probability Bounds of Higher Order ⋮ Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios ⋮ Least-square estimators in linear regression models under negatively superadditive dependent random observations

Cites Work

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• Multivariate increasing failure rate average distributions
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• Uniform representations of bivariate distributions
• Inequalities for E k(X, Y) when the marginals are fixed
• On some generalized farlie-gumbel-morgenstern distributions
• Inequalities: theory of majorization and its applications

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