A New Grade Measure of Monotone Multivariate Separability

T. Kowalczyk and M. Niewiadomska-Bugaj
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T. Kowalczyk: Institute of Computer Science PAS
M. Niewiadomska-Bugaj: West Virginia University, Dept. of Statistics

A chapter in Distributions With Given Marginals and Statistical Modelling, 2002, pp 143-151 from Springer

Abstract: Abstract It was shown (Cifarelli and Regazzini 1987) that maximal separation of two probability measures P and Q can be assessed by a maximal concentration curve of one of the probability measures with respect to the other. In case of two univariate distributions, one can measure their monotone separation by means of a monotone concentration curve and related numerical index ar. We are extending this idea into a multivariate case. We discuss properties of a proposed index of monotone separation of multivariate distributions, especially in relation to dependence and stochastic ordering, and show examples of how the index can be used in data analysis.

Keywords: Monotone separability; Lorenz curve; stochastic ordering (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-0061-0_15

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DOI: 10.1007/978-94-017-0061-0_15

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