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Title:Increasing interdependence of multivariate distributions PDF Logo
Authors:Meyer, Margaret
Strulovici, Bruno
Issue Date:2011
Series/Report no.:Discussion Paper, Center for Mathematical Studies in Economics and Management Science 1523
Abstract:Orderings of interdependence among random variables are useful in many economic contexts, for example, in assessing ex post inequality under uncertainty; in comparing multidimensional inequality; in valuing portfolios of assets or insurance policies; and in assessing systemic risk. We explore five orderings of interdependence for multivariate distributions: greater weak association, the supermodular ordering, the convex-modular ordering, the dispersion ordering, and the concordance ordering. For two dimensions, all five orderings are equivalent, whereas for an arbitrary number of dimensions n > 2, the five orderings are strictly ranked. For the special case of binary random variables, we establish some equivalences among the orderings.
Subjects:dependence ordering
stochastic orders
supermodularity
weak association
concordance
JEL:D63
D81
G11
G22
Document Type:Working Paper
Appears in Collections:Discussion Papers, Kellogg School of Management, Northwestern University

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