Supermodular ordering of Poisson and binomial random vectors by tree-based correlations

  1. Bünyamin Kizildemir
  2. Nicolas Privault

Abstract

We construct a dependence structure for binomial, Poisson and Gaussian random vectors, based on partially ordered binary trees and sums of independent random variables. Using this construction, we characterize the supermodular ordering of such random vectors via the componentwise ordering of their covariance matrices. For this, we apply Möbius inversion techniques on partially ordered trees, which allow us to connect the Lévy measures of Poisson random vectors on the discrete d-dimensional hypercube to their covariance matrices.

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Probability and Mathematical Statistics

38, z. 2, 2018

Pages from 385 to 405

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