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 SM ISO690:2012ZBĂGANU, Gheorghiță. Some possible generalizations of comonotonicity. In: Conference on Applied and Industrial Mathematics: CAIM 2017, 14-17 septembrie 2017, Iași. Chișinău: Casa Editorial-Poligrafică „Bons Offices”, 2017, Ediţia 25, p. 56. ISBN 978-9975-76-247-2. |
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| Conference on Applied and Industrial Mathematics Ediţia 25, 2017 |
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Conferința "Conference on Applied and Industrial Mathematics" Iași, Romania, 14-17 septembrie 2017 | ||||||
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If X is a random vector with n components we say that X is comonotonic if all it can be written as X = f(U) where f is a monotonous function from R to the n-dimensional space. Or, in terms of probability distributions, F is a comonotonic distribution if its support is carried by an increasing path in the n-dimensional space. It is obvious that if we have a selection of volume N from a comonotonic distribution, all the N points are on the graph of a monotonous curve. We intend to de ne an index of comonotonicity for any distribution F. |
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