Cycle-transitive comparison of independent random variables

B. De Schuymer, H. De Meyer and B. De Baets

Journal of Multivariate Analysis, 2005, vol. 96, issue 2, 352-373

Abstract: The discrete dice model, previously introduced by the present authors, essentially amounts to the pairwise comparison of a collection of independent discrete random variables that are uniformly distributed on finite integer multisets. This pairwise comparison results in a probabilistic relation that exhibits a particular type of transitivity, called dice-transitivity. In this paper, the discrete dice model is generalized with the purpose of pairwisely comparing independent discrete or continuous random variables with arbitrary probability distributions. It is shown that the probabilistic relation generated by a collection of arbitrary independent random variables is still dice-transitive. Interestingly, this probabilistic relation can be seen as a graded alternative to the concept of stochastic dominance. Furthermore, when the marginal distributions of the random variables belong to the same parametric family of distributions, the probabilistic relation exhibits interesting types of isostochastic transitivity, such as multiplicative transitivity. Finally, the probabilistic relation generated by a collection of independent normal random variables is proven to be moderately stochastic transitive.

Keywords: Comparison; of; independent; random; variables; Cycle-transitivity; Dice; model; Isostochastic; transitivity; Probabilistic; relation; Stochastic; dominance; T-norm (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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