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LTD and RTI dependence orderings |
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| Authors: | Jean Averous Jean‐Luc Dortet‐Bernadet |
| Abstract: | The authors show how the approach of Capéra à & Genest (The Canadian Journal of Statistics, 1990) can be used to order bivariate distributions with arbitrary marginals by their degree of dependence in the LTD (left‐tail decreasing) or RTI (right‐tail increasing) sense. Some properties of these new orderings are given, along with applications to Archimedean copulas, order statistics and compound random variables. |
| Keywords: | Archimedean copulas dependence orderings left‐tail decreasing right‐tail increasing stochastically increasing positive quadrant dependence |