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Stochastic Ordering of Multivariate Normal Distributions
- Source :
- Annals of the Institute of Statistical Mathematics; September 2001, Vol. 53 Issue: 3 p567-575, 9p
- Publication Year :
- 2001
-
Abstract
- We show an interesting identity for Ef(Y) − Ef(X), where X, Yare normally distributed random vectors and fis a function fulfilling some weak regularity condition. This identity will be used for a unified derivation of sufficient conditions for stochastic ordering results of multivariate normal distributions, some well known ones as well as some new ones. Moreover, we will show that many of these conditions are also necessary. As examples we will consider the usual stochastic order, convex order, upper orthant order, supermodular order and directionally convex order.
Details
- Language :
- English
- ISSN :
- 00203157 and 15729052
- Volume :
- 53
- Issue :
- 3
- Database :
- Supplemental Index
- Journal :
- Annals of the Institute of Statistical Mathematics
- Publication Type :
- Periodical
- Accession number :
- ejs2100547
- Full Text :
- https://doi.org/10.1023/A:1014629416504