Stochastic dominance and statistical preference for random variables coupled by an Archimedean copula or by the Fréchet-Hoeffding upper bound

DOI10.1016/j.jmva.2015.09.015zbMath1384.60061OpenAlexW1874668581MaRDI QIDQ900809

Susana Montes, Ignacio Montes

Publication date: 23 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.015

zbMATH Keywords

stochastic dominanceArchimedean copulastatistical preferencecomonotone random variablescountermonotone random variables

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (6)

GENERALIZATION OF THE PAIRWISE STOCHASTIC PRECEDENCE ORDER TO THE SEQUENCE OF RANDOM VARIABLES ⋮ Comonotone lower probabilities with robust marginal distributions functions ⋮ A modified version of stochastic dominance involving dependence ⋮ On optimal operational sequence of components in a warm standby system ⋮ Cutting levels of the winning probability relation of random variables pairwisely coupled by a same Frank copula ⋮ Multivariate winning probabilities

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