Stochastic orderings for elliptical random vectors

Xiaoqing Pan, Guoxin Qiu and Taizhong Hu

Journal of Multivariate Analysis, 2016, vol. 148, issue C, 83-88

Abstract: 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.

Keywords: Usual stochastic order; (Increasing) convex order; Multivariate normal distribution (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2016.02.016

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