Dependence, dispersiveness, and multivatiate hazard rate ordering Article

Khaledi, BE, Kochar, S. (2005). Dependence, dispersiveness, and multivatiate hazard rate ordering . Probability in the Engineering and Informational Sciences, 19(4), 427-446. 10.1017/S0269964805050278

cited authors

  • Khaledi, BE; Kochar, S

abstract

  • To compare two multivariate random vectors of the same dimension, we define a new stochastic order called upper orthant dispersive ordering and study its properties. We study its relationship with positive dependence and multivariate hazard rate ordering as defined by Hu, Khaledi, and Shaked (Journal of Multivariate Analysis, 2002). It is shown that if two random vectors have a common copula and if their marginal distributions are ordered according to dispersive ordering in the same direction, then the two random vectors are ordered according to this new upper orthant dispersive ordering. Also, it is shown that the marginal distributions of two upper orthant dispersive ordered random vectors are also dispersive ordered. Examples and applications are given. © 2005 Cambrigde University Press.

authors

publication date

  • January 1, 2005

published in

Digital Object Identifier (DOI)

start page

  • 427

end page

  • 446

volume

  • 19

issue

  • 4