“Weak” stochastic orderings and dependence measures |
| |
Authors: | R.L. Fountain A. Talebi |
| |
Affiliation: | aDepartment of Mathematics and Statistics, Portland State University, Portland, OR 97207-0751, USA |
| |
Abstract: | Many notions of dependence rely upon orderings of random pairs. These orderings are generally partial orders, and thus there are many pairs of random vectors which are not comparable. By using a weakened version of stochastic dominance, many new orderings, as well as corresponding dependence measures, are created. The application to stock market data is explored. |
| |
Keywords: | Dependence measures Dependence orderings |
本文献已被 ScienceDirect 等数据库收录! |
|