Archivio Istituzionale della RicercaThe supermodular order is a well-known tool to compare the intrinsic degree of dependence between random vectors or multivariate processes. In this note we describe a general framework for the supermodular comparisons of models incorporating individual and common factors. Examples are given on how to apply these models in comparing hitting times for multivariate processes of interest within risk analysis and reliability theory.
Supermodular comparison of dependence models and multivariate processes, with applications / Frostig, E.; Pellerey, Franco. - In: LECTURE NOTES OF SEMINARIO INTERDISCIPLINARE DI MATEMATICA. - ISSN 2284-0206. - ELETTRONICO. - 12:(2015), pp. 125-138.
Supermodular comparison of dependence models and multivariate processes, with applications
PELLEREY, FRANCO
2015
Abstract
The supermodular order is a well-known tool to compare the intrinsic degree of dependence between random vectors or multivariate processes. In this note we describe a general framework for the supermodular comparisons of models incorporating individual and common factors. Examples are given on how to apply these models in comparing hitting times for multivariate processes of interest within risk analysis and reliability theory.
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https://hdl.handle.net/11583/2643235
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