Supermodular and directionally convex comparison results for general factor models

DOI10.1016/J.JMVA.2023.105264OpenAlexW4389158650MaRDI QIDQ6200938

Ludger Rüschendorf, Jonathan Ansari

Publication date: 25 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105264

zbMATH Keywords

positive dependencerearrangementsconditional independencesupermodular orderfactor modelproduct of copulasSchur order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis (62Hxx)

Related Items (1)

Dependence properties of bivariate copula families

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