Modeling Directional Monotonicity in Sequence with Copulas

Abstract

In this paper, we present the concept of being monotonic in sequence according to a specific direction for a collection of random variables. This concept broadens the existing notions of multivariate dependence, such as sequential left-tail and right-tail dependence. Furthermore, we explore connections with other multivariate dependence concepts, highlight key properties, and analyze the new concept within the framework of copulas. Several examples are provided to demonstrate our findings.

Keywords

• copula
• monotonic in sequence dependence
• random variable