Dependence orderings and their applications

Abstract: Suppose we have two bivariate random vectors. It is of interest to compare them according to the degree of dependence between their component random variables. Rather than using a single summary statistic like coefficient of correlation, it is more useful and informative to compare the whole distributions or some aspects of them. For this purpose, various partial orders have been introduced in the literature assuming that their marginal distributions are identical. But in many problems of practical interest, this is not the case. It will be discussed as how to modify the existing partial orders to overcome this difficulty. The modified partial orders for dependence are copula based. Applications of these orders to compare dependence between pairs of order statistics, record values and generalized order statistics will be discussed. Both the case of i.i.d as well as independent but not identical observations will be considered.