The dispersive effect of cross-aging with archimedean copulas

DOI10.1016/J.SPL.2011.04.011MaRDI QIDQ553098zbMATH OpenOpenAlexFDO

Authors Michel Denuit, Mhamed Mesfioui

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.04.011

zbMATH Keywords

dependencedispersive order

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15) Graphical methods in statistics (62A09) Characterization and structure theory of statistical distributions (62E10)

Recommendations

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Cites work

• An introduction to copulas.
• Archimedean copulae and positive dependence
• Characterizations of the IFR and DFR aging notions by means of the dispersive order
• Dispersive ordering-some applications and examples
• Dispersive orderings and characterizations of ageing classes
• Stochastic orders

Cited in

(2)

• A note on level-crossing analysis for the excess, age, and spread distributions
• A modified version of stochastic dominance involving dependence

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