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Generalized Lorenz curve and monotone dependence orderings. (English) Zbl 0829.62059

Summary: A partial ordering of monotone dependence on the class of nonnegative bivariate random variables with given marginals is defined, based on the notion of generalized Lorenz curve of the regression function. The relations with other monotone dependence orderings are examined, with particular attention to the EQD ordering proposed by T. Kowalczyk and E. Pleszczyńska [Ann. Stat. 5, 1221-1227 (1977; Zbl 0374.62051)]. Finally, a real valued parameter coherent with the introduced ordering is suggested.

MSC:

62H05 Characterization and structure theory for multivariate probability distributions; copulas
62P20 Applications of statistics to economics

Citations:

Zbl 0374.62051