Relationships among some concepts of multivariate negative
dependence
M. Amini, H. R. Nili Sani, and A.Bozorgnia
Department of Statistics, University of Birjand,Birjand,Iran.
Department of Statistics, Ferdowsi University of, Mashhad,Mashhad,Iran.
Abstract: In this paper, we provide counterexamples to show that some concepts of
negative dependence are strictly stronger than others. In addition, we solve an open
problem posed by Hu,et.al.(2005) referring to whether strong negative orthant
dependence implies that negative superadditive dependence. Finally, we
characterized independence in the class of negative upper orthant dependence
random variables under some suitable moment conditions.
Keywords: Negatively upper orthant dependent, Negative association,
Characterization of independence, Negative superadditive dependence, Linear
negative dependence, Strong negative orthant dependence.1
1. Introduction and Preliminaries
Various results in probability and statistics have been derived under the
assumption that some underlying random variables have the negative dependence
property. A number of concepts of negative dependence have been introduced in
recent years. Many implications among different dependence concepts are well
known. The reader is referred to Joe(1997), Hu (2000), Hu and Yang (2004) and Hu
et.al.(2004, 2005) for an extensive treatment of the topic. Furthermore, the
characterization of stochastic independence via uncorrelatedness has been studied by
many authors in some classes of negative or positive dependence. For example,
Ruschendorf (1981) characterized the stochastic independence in the class of upper
positive orthant dependence under some suitable moment conditions. Hu, (2000)
proved that if X 1 , X 2 , X n are negative superadditive dependence and uncorrelated
random variables then X 1 , X 2 , X n are stochastic independence. Block and Fang
(1988, 1990) characterized the stochastic independence for some dependence
structures also Joag-Dev (1983) characterized the stochastic independence in classes
of negative association and strong negative orthant dependence random variables via
uncorrelatedness. This paper is organized as follows: Section 1 recalls some well
known concepts of negative dependence and presents some well known implications
from them. In section 2, we provide some counterexamples and show that some
concepts of negative dependence are strictly stronger than others. Moreover, we solve
an open problem posed by Hu,et.al.(2005) referring to whether strong negative orthant
dependence implies that negative superadditive dependence. In section 3, we prove
analogous result of Ruschendorf (1981) for upper negative orthant dependence

Corresponding author.
E-mail address: m-amini@ferdowsi.um.ac.ir , nilisani@yahoo.com,, bozorg@math.um.ac.ir,
1
MSC(2000): 60E15
random variables. In fact, we characterize stochastic independence in the class of
upper negative orthant dependence random variables.
Definition 1: A function f : R m  R is supermodular, if
f ( x  y )  f ( x  y )  f ( x)  f ( y )
for all x, y  R m
where x  y  (min{ x1 , y1},, min{ xm , y m }) and
x  y  (max{ x1 , y1},, max{ xm , y m }) .
Note that if f has continuous second partial derivatives, then supermodularity of f
is equivalent to
 2 f ( x)
 0 for all 1  i  j  m and x  R m (Muller and Scarsini,
xi x j
2000). Let ( X 1 , X 2 , ... X n ), n  3 be a random vector defined on a probability space
( ,  , P )
Definitions 2: The random variables X 1 , X 2 , X n are :
(a) (Joag-Dev and Proschan, 1982). Negatively associated (NA) if for every pair of
disjoint nonempty subsets A1 , A2 of {1, ... , n} ,
Cov( f1 ( X i , i  A1 ) , f 2 ( X i , i  A2 ))  0,
whenever f1 and f 2 are coordinatewise nondecreasing functions and covariance exists.
(b) Weakly negatively associated (WNA) if for all nonnegative and nondecreasing
functions
f i , i  1,2, n,
.
n
n
i 1
i 1
E ( f i ( X i ))   E ( f i ( X i )).
(c) Negatively upper orthant dependent (NUOD) if for all x1 ,, xn  R
n
1
P( X i  xi , i  1, , n)   P( X i  xi ).
i 1
Negatively lower orthant dependent (NLOD) if for all x1 ,, xn  R
n
P( X i  xi , i  1, , n)   P( X i  xi ).
(2)
i 1
And negatively orthant dependent (NOD), if both (1) and (2) hold.
(d) (Hu,2000). Negatively superadditive dependent (NSD) if
E ( f ( X 1 , X 2 ,... X n ))  E ( f (Y1 , Y2 ,...Yn )),
(3)
st
where Y1 , Y2 ,, Yn are independent variables with X i  Yi for each i and f is a
supermodular function such that the expectations in (3) exist.
(e) Linearly negative dependent (LIND) if for any disjoint subsets A and B of
{1,2,  , n} and  j  0, j  1, , n , kA k X k and kB k X k are NA.
(f) (Joag-Dev, 1983). Strongly negative orthant dependent (SNOD) if for every set of
indices A in {1,2, , n} and for all x R n , the following three conditions hold
 P[
n
(X i  x i )]  P [X i  x i , i  A ].P [X j  x j , j  A c ]
i 1
 P[
n
(X i  x i )]  P [X i  x i , i  A ].P [X j  x j , j  A c ]
i 1
 P [X i  x i , i  A , X j  x j , j  A c ]  P [X i  x i , i  A ].P [X j  x j , j  A c ]
.
The following implications are well known.
i) If ( X 1 , X 2 , ... X n ) is NA then it is LIND, WNA and consequence NUOD.
ii) If ( X 1 , X 2 , ... X n ) is NA then it is NSD.(Christofides and Vaggelatou, 2004).
iii) If ( X 1 , X 2 , ... X n ) is NSD then it is NUOD.(Hu, 2000).
iv) If ( X 1 , X 2 , ... X n ) is NA then it is SNOD and if ( X 1 , X 2 , ... X n ) is SNOD then it
is NOD.( Joag-Dev, 1983)
It is well known that some of negative dependence concepts do not imply others.
Remark 1: i) Neither of the two dependence concepts NUOD and NLOD implies the
other (Bozorgnia et.al, 1996)
ii) Neither NUOD nor NLOD imply NA. (Joag-Dev and Proschan, 1982).
iii) The NSD does not imply LIND and NA.(Hu, 2000).
iv) The NSD does not imply SNOD. (Hu, et.al., 2005).
We use the following Lemma that is important in the theory of negative dependence
random variables.
Lemma 1: (Bozorgnia et.al., 1996) Let X 1 , X 2 ,..., X n be NUOD random variables and
let f1 , f 2 ,..., f n be a corresponding of monotone increasing, Borel functions which are
continuous from the right, then f1 ( X 1 ), , f n ( X n ) are NUOD random variables.
2. Some counterexamples
In this section, we present some counterexamples showing that some concepts of
negative dependence are strictly stronger than others.
Lemma 2: Neither of the two dependence concepts SNOD and LIND implies the
other.
Proof: i) ( LIND does not imply SNOD). Let ( X 1 , X 2 , X 3 ) have the following
distribution.
p (1,1,1)  0.05, p (1, 0, 0)  p (0,1, 0)  0.225, p (0, 0,1)  0.22,
p (0, 0, 0)  0.065, p (1,1, 0)  0.08, p (0,1,1)  0.06, p (1, 0,1)  0.075.
It can be checked that the random variables X 1 , X 2 , X 3 are LIND and also NOD,
since for all 0  ai  1, i  1, 2,3 .
P (X 1  a1 , X 2  a2 , X 3  a3 )  0.05  P (X  a1 ).P (X  a2 ).P (X  a3 )  0.07227,
P (X 1  a1 , X 2  a2 , X 3  a3 )  0.065  P (X  a1 ).P (X  a2 ).P (X  a3 )  0.1984.
But the random variables X 1 , X 2 , X 3 are not SNOD, since for all
0  ai  1, i  1, 2,3
3
P[
(X i  ai )]  0.05  P [X 1  a1 ].P [X 2  a2 , X 3  a3 ]  0.0473.
i 1
ii) (SNOD does not imply LIND). Let (X 1 , X 2 , X 3 , X 4 ) have the joint distribution as
given in Table 6 of Hu, et.al.(2005). Then the random variables X 1 , X 2 , X 3 , X 4 are
SNOD but not LIND, since
9
8
P [X 1  1,Y 2  2] 
 P [Y 1  1].P [Y 2  2]  ,
32
32
Where Y 1  X 1 , Y 2  X 2  X 3  X 4 .
The next Lemma indicates that strong negative orthant dependence does not imply
NSD which gives the answer to the question posed by Hu, et.al.(2005).
Lemma 3: SNOD does not imply NSD.
Proof: Let ( X 1 , X 2 , X 3 ) have the following distribution.
1
p (1,1,1)  p (0, 0, 2)  p (0, 2, 0)  p (2, 0, 0)  ,
40
2
10
p (1, 0, 0)  p (0, 0,1)  p (0,1, 0)  , p (1,1, 0)  p (0,1,1)  p (1, 0,1)  .
40
40
It can be checked that ( X 1 , X 2 , X 3 ) is SNOD, since for all
0  ai  1, 1  bi  2, i  1, 2,3, and i  j  k ,we have
3
P[
(X i  ai )] 
i 1
3
1
264
 P [X i  ai ].P [X j  a j , X k  ak ] 
,
40
40
37
1482
 P [X i  bi ].P [X j  b j , X k  b k ] 
,
40
1600
i 1
14
608
P [X i  ai , X j  b j , X k  b k ] 
 P [X i  ai ].P [X j  b j , X k  b k ] 
,
40
1600
2
117
P [X i  ai , X j  a j , X k  b k ] 
 P [X i  ai ].P [X j  a j , X k  b k ] 
,
40
1600
3
72
P [X i  ai , X j  a j , X k  ak ] 
 P [X i  ai ].P [X j  a j , X k  ak ] 
,
40
1600
24
912
P [X i  ai , X j  b j , X k  b k ] 
 P [X i  ai ].P [X j  b j , X k  b k ] 
,
40
1600
10
176
P [X i  ai , X j  a j , X k  ak ] 
 P [X i  ai , X j  a j ].P [X k  ak ] 
,
40
1600
11
429
P [X i  ai , X j  a j , X k  b k ] 
 P [X i  ai , X j  a j ].P [X k  b k ] 
,
40
1600
similarly it is easy to show that all conditions of Definition 2(f) are true. But
( X 1 , X 2 , X 3 ) is not NSD. Let f (x 1 , x 2 , x 3 )  max{x 1  x 2  x 3  1,0} , this function is
supermodular since it is a composition of an increasing convex real value function and
an increasing supermodular function. For this function we get
56000
50494
Ef (X 1 , X 2 , X 3 ) 
 Ef (Y 1 ,Y 2 ,Y 3 ) 
.
64000
64000
P[
(X i  bi )] 
st
Where Y 1 ,Y 2 ,Y 3 are independent random variables with X i Y i for all i  1, 2,3, .
The following example shows that the converse implication NA  LIND fails to
hold.
Example 2 : Let ( X 1 , X 2 , X 3 ) have the following distribution.
2
3
p (0, 0, 0)  0, p (0, 0,1)  p (1, 0, 0)  , p (1,1,1)  ,
15
15
2
p (0,1, 0)  p (1,1, 0)  p (0,1,1)  p (1, 0,1)  .
15
It is easy to show that X 1 , X 2 , X 3 are LIND. Now we define the two monotone
functions f and g as following
1
1

x1  0.5, x 2  0.5
( x1  15 )( x 2  15 ),
f ( x1 , x 2 )  
 1
x1  0.5, x 2  0.5
15 2
and
1

x3  0.5
( x3  15 ),
g ( x3 )  
1,
x3  0.5
 15
we have
7920 5940 1980
Cov (f (X 1 , X 2 ), g (X 3 )) 
 4 
0
152
15
154
This show that X 1 , X 2 , X 3 are not NA.
Example 3: (NOD implies neither NA nor LIND). Let ( X 1 , X 2 , X 3 ) have joint
distribution as following:
2
p (0, 0, 0)  p (1, 0,1)  0, p (0,1, 0)  p (0, 0,1)  ,
10
1
3
p (0,1,1)  p (1,1, 0)  p (1,1,1)  , p (1, 0, 0)  .
10
10
i. It is easy to see that X 1 , X 2 , X 3 are ND ,
1
1
1
ii. If f (x 1 , x 2 )  I (x 1  , x 2  ), and g (x 3 )  I (x 3  ), then
2
2
2
1
8
E {f (X 1 , X 2 ).g (X 3 )} 
 Ef (X 1 , X 2 ).Eg ( X 3 ) 
.
10
100
Therefore the random variables X 1 , X 2 , X 3 are not NA.
iii.The random variables X 1 , X 2 , X 3 are not LIND. Since if Y 1  X 1  X 2 and
Y 2  X 3 , then
1
12
P [Y 1  1,Y 2  0]   P [Y 1  1]P [Y 2  0]  .
2
25
iv) The NOD does not imply SNOD, because for 0  ai  1, i  1, 2,3 , we have
3
1
4
 P [X 3  a3 ].P [X 1  a1 , X 2  a2 ] 
.
10
50
i 1
Remark 3: i) Lehmann (1966) proved that NUOD of X 1 and X 2 is equivalent to
Cov( f1 ( X 1 ) , f 2 ( X 2 ))  0 , for all nonnegative and nondecreasing Borel
functions f1 and f 2 .Therefore for n  2 NUOD is equivalent to weak negative
association.
ii). The condition of non-negativity functions f i , i  1, 2,..., n in Definition b) is a
necessary condition. To see this consider Example 3,
1
1
f 1 (x )  f 2 (x )  I (x  ) and f 3 (x )  x  .
2
4
Then
P[
(X i  ai )] 
E {f 1 (X 1 ).f 2 (X 2 ).f 3 (X 3 )} 
1
3
 Ef 1 (X 1 ).Ef 2 (X 2 ).Ef 3 (X 3 )  .
20
80
3. Characterization of independence
It is well known that for a normally distributed n-dimensional random variables
stochastically independence is equivalent to Cov( X )  I -the identity matrix.When
n=2 this result is generalized to NUOD random variables in Lehmann(1966).
Moreover, Joag-Dev and Proschan (1983) proved that If (X 1 , X 2 ,..., X n ) have
N (  , ) -distribution, and then (X 1 , X 2 ,..., X n ) is NUOD if and only if  ij  0, for
all i  j, i, j  1,2,..., n, where   ( ij ) . In the following, we present two Theorems:
Theorem 1 implies that WNA is equivalent to NUOD and in Theorem 2 shows that
E  X j   EX j
NUOD and
jT
are equivalent to stochastic independence
jT
of X 1 , X 2 ,..., X n .
Theorem 1: The random variables X 1 , X 2 ,..., X n are WNA if and only if they
NUOD.
Proof: Let X 1 , X 2 ,..., X n be NUOD and f i , i  1,2,..., n be nonnegative and
nondecreasing real value functions. Then by Lemma 1 f1 ( X 1 ), , f n ( X n ) are
NUOD. The continuation of the proof is a simple generalization of Theorem 1 of
Ruschendorf (1981) and the following equality,
n
n
E ( f i (X i )   E (f i (X i )) 
i


n
0
i 1
 [P (
0
i

n
n
i
i
f i (X i )  u i )   P (f i (X i )  u i )] du i 0.

Where, f i ( X i )   I (ui , f i ( X i )) dui , 1  i  n,
I (u , x)  1 if x  u and I (u , x)  0
0
elsewhere. This will complete the proof.
Corollary: Let X 1 , X 2 , , X n be non-negative NUOD random variables, then
n
n
i
i
E  f i ( X i )  Ef i ( X i ) implies independence of X 1 , X 2 ,
,X n .
Now it is easy to prove the following Theorem.
Theorem 2: Let X 1 , X 2 , , X n be NUOD random variables assuming that
E  X j exists for all T  {1,2, , n} . If E  X j   EX j for all T  {1,2, , n} ,
jT
jT
jT
then X 1 ,, X n are stochastically independent.
Conclusions :
The counterexamples have been presented in this paper show that the following
implications holding among these concepts of dependence are strict for all n  3 :
NUOD  NOD  SNOD  NA  NSD  NUOD  W NA

LIND
Moreover, we characterized the stochastic independence in the class of NUOD
random variables under condition E  X j   EX j for all T  {1,2,, n} . The
jT
jT
characterization of stochastic independence in smaller class LIND , is still an open
problem.
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