Some possible generalizations of comonotonicity
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ZBĂGANU, 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
Conferința "Conference on Applied and Industrial Mathematics"
Iași, Romania, 14-17 septembrie 2017

Some possible generalizations of comonotonicity


Pag. 56-56

Zbăganu Gheorghiță
 
"Gheorghe Mihoc - Caius Iacob" Institute of Mathematical Statistics and Applied Mathematics of Romanian Academy
 
 
Disponibil în IBN: 10 ianuarie 2024


Rezumat

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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