Preserving multivariate dispersion: An application to the Wishart distribution

J.M. Fernández-Ponce and R. Rodríguez-Griñolo

Journal of Multivariate Analysis, 2006, vol. 97, issue 5, 1208-1220

Abstract: Univariate dispersive ordering has been extensively characterized by many authors over the last two decades. However, the multivariate version lacks extensive analysis. In this paper, sufficient and necessary conditions are given to preserve the strong multivariate dispersion order through properties of the corresponding transformation. Finally, these results are applied to the Wishart distribution which can be viewed as "the spread of the dispersion".

Keywords: Contraction; Dispersion; ordering; Transformations; Wishart; distribution (search for similar items in EconPapers)
Date: 2006
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