Stochastic ordering in multivariate extremes

Abstract

The article considers the multivariate stochastic orders of upper orthants, lower orthants and positive quadrant dependence (PQD) among simple max-stable distributions and their exponent measures. It is shown for each order that it holds for the max-stable distribution if and only if it holds for the corresponding exponent measure. The finding is non-trivial for upper orthants (and hence PQD order). From dimension $d\ge 3$ these three orders are not equivalent and a variety of phenomena can occur. However, every simple max-stable distribution PQD-dominates the corresponding independent model and is PQD-dominated by the fully dependent model. Among parametric models the asymmetric Dirichlet family and the Hüsler-Reiss family turn out to be PQD-ordered according to the natural order within their parameter spaces. For the Hüsler-Reiss family this holds true even for the supermodular order.

30 pages, 8 figures