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Joint weak hazard rate order under non-symmetric copulas

100%

Pellerey F., Spizzichino F.

Dependence Modeling

2016

tom 4

nr 1

A weak version of the joint hazard rate order, useful to stochastically compare not independent random variables, has been recently defined and studied in [4]. In the present paper, further results on this order are proved and discussed. In particular, some statements dealing with the relationships between the jointweak hazard rate order and other stochastic orders are generalized to the case of non symmetric copulas, and its relations with some multivariate aging notions (studied in [2]) are presented. For this purpose, the new notions of Generalized Supermigrative and Generalized Submigrative copulas are defined. Other new results, examples and discussions are provided as well.

Equivalent or absolutely continuous probability measures with given marginals

81%

Berti P., Pratelli L., Rigo P., Spizzichino F.

Dependence Modeling

2015

tom 3

nr 1

Let (X,A) and (Y,B) be measurable spaces. Supposewe are given a probability α on A, a probability β on B and a probability μ on the product σ-field A ⊗ B. Is there a probability ν on A⊗B, with marginals α and β, such that ν ≪ μ or ν ~ μ ? Such a ν, provided it exists, may be useful with regard to equivalent martingale measures and mass transportation. Various conditions for the existence of ν are provided, distinguishing ν ≪ μ from ν ~ μ.

Ograniczanie wyników

2 Dependence Modeling

2 Spizzichino F.

1 Berti P.

1 Pellerey F.

1 Pratelli L.

1 Rigo P.

1 2016

1 2015

Wyniki wyszukiwania

Joint weak hazard rate order under non-symmetric copulas

Equivalent or absolutely continuous probability measures with given marginals