Title of article :
Multivariate comonotonicity
Author/Authors :
Puccetti، نويسنده , , Giovanni and Scarsini، نويسنده , , Marco، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 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.
Keywords :
Copula , Supermodular function , Cyclical monotonicity , Rearrangements , Optimal coupling
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis
