Monotonicity criteria

Date
2013
Authors
Kachapova, F
Kachapov, I
Supervisor
Item type
Conference Contribution
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
World Academy of Science, Engineering and Technology (WASET)
Abstract

Monotonicity is an important type of dependence of random variables. The paper reviews the definitions of comonotonicity and counter-monotonicity, their existing criteria and introduces a new criterion for each of the two concepts, along with some proofs. The new criteria are similar to the definition of a monotone function and clarify the meaning of the monotonicity concept. Stronger criteria are proven for the case of continuous marginals.

Description
Keywords
Comonotonic , Counter-monotonic , Marginal , Monotonicity
Source
International conference on probability and statistics , Dubai, 2013-01-30, published in: World Academy of Science, Engineering and Technology (73), pp.1594 - 1599
DOI
Rights statement
World Academy of Science, Engineering and Technology is a scholarly open access, peer reviewed, interdisciplinary, monthly and fully refereed international journal focusing on theories, methods and applications in Science, Engineering and Technology.