A multivariate dispersion ordering based on quantiles more widely separated

J. M. Fernandez-Ponce and A. Suarez-Llorens

Journal of Multivariate Analysis, 2003, vol. 85, issue 1, 40-53

Abstract: A multivariate dispersion ordering based on quantiles more widely separated is defined. This new multivariate dispersion ordering is a generalization of the classic univariate version. If we vary the ordering of the components in the multivariate random variable then the comparison could not be possible. We provide a characterization using a multivariate expansion function. The relationship among various multivariate orderings is also considered. Finally, several examples illustrate the method of this paper.

Keywords: Conditional; quantile; Expansion; Corrected; orthant; Multivariate; ordering (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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