In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties, more structures are needed than in the univariate case.
Multivariate comonotonicity / G. Puccetti; M. Scarsini. - In: JOURNAL OF MULTIVARIATE ANALYSIS. - ISSN 0047-259X. - STAMPA. - 101:(2010), pp. 291-304. [10.1016/j.jmva.2009.08.003]
Multivariate comonotonicity
PUCCETTI, GIOVANNI;
2010
Abstract
In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties, more structures are needed than in the univariate case.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
JMVA10b.pdf
Accesso chiuso
Tipologia:
Versione finale referata (Postprint, Accepted manuscript)
Licenza:
Tutti i diritti riservati
Dimensione
823.28 kB
Formato
Adobe PDF
|
823.28 kB | Adobe PDF | Richiedi una copia |
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
