Stochastic orderings for elliptical random vectors

JOURNAL OF MULTIVARIATE ANALYSIS

卷:148

Article

Pan, Xiaoqing¹  Qiu, Guoxin¹  Hu, Taizhong¹ 

[1] Univ Sci & Technol China, Sch Management, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China

关键词: Usual stochastic order;    (Increasing) convex order;    Multivariate normal distribution;   

DOI  :  10.1016/j.jmva.2016.02.016

来源: Elsevier

【 摘 要 】

The authors provide sufficient and/or necessary conditions for classifying multivariate elliptical random vectors according to the convex ordering and the increasing convex ordering. Their results generalize the corresponding ones for multivariate normal random vectors in the literature. (c) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

Free