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A New Dependence Ordering with Applications
Journal of Multivariate Analysis (2008)
  • Subhash Kochar, Portland State University
  • Maochao Xu, Portland State University

In this paper, we introduce a new copula-based dependence order to compare the relative degree of dependence between two pairs of random variables. Relationship of the new order to the existing dependence orders is investigated. In particular, the new ordering is stronger than the partial ordering, more monotone regression dependence as developed by Avérous et al. [J. Avérous, C. Genest, S.C. Kochar, On dependence structure of order statistics, Journal of Multivariate Analysis 94 (2005) 159–171]. Applications of this partial order to order statistics, k-record values and frailty models are given.

Publication Date
October, 2008
Citation Information
Subhash Kochar and Maochao Xu. "A New Dependence Ordering with Applications" Journal of Multivariate Analysis Vol. 99 Iss. 9 (2008)
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