5 papers · 1 filter
Full negative regression dependence: counterexamples for tail dependence and negative association
Yuting Su, Taizhong Hu
We show that full negative regression dependence implies neither negative right-tail dependence nor negative left-tail dependence. A strictly positive distribution on a 2*2*3 recta…
Moment inequalities for higher-order (inverse) stochastic dominance
Meng Guan, Zhenfeng Zou, Taizhong Hu
Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for highe…
Further Developments on Stochastic Dominance for Convex Combinations of Infinite-Mean Random Variables
Keyi Zeng, Zhenfeng Zou, Yuting Su +1
In recent years, stochastic dominance for independent and identically distributed (iid) infinite-mean random variables has received considerable attention. The literature has ident…
Negative Dependence in Knockout Tournaments
Yuting Su, Zhenfeng Zou, Taizhong Hu
Negative dependence in tournaments has received attention in the literature. The property of negative orthant dependence (NOD) was proved for different tournament models with a spe…
Stochastic dominance for linear combinations of infinite-mean risks
Yuyu Chen, Taizhong Hu, Seva Shneer +1
In this paper, we establish a sufficient condition to compare linear combinations of independent and identically distributed (iid) infinite-mean random variables under usual stocha…