Stochastic comparison for elliptically contoured random fields

Tianshi Lu, Juan Du and Chunsheng Ma

Statistics & Probability Letters, 2022, vol. 189, issue C

Abstract: This paper presents necessary and sufficient conditions for the peakedness comparison and convex ordering between two elliptically contoured random fields about their centers. A somewhat surprising finding is that the peakedness comparison for the infinite dimensional case differs from the finite dimensional case. For example, a Student’s t distribution is known to be more heavy-tailed than a normal distribution, but a Student’s t random field and a Gaussian random field are not comparable in terms of the peakedness. In particular, the peakedness comparison and convex ordering are made for isotropic elliptically contoured random fields on compact two-point homogeneous spaces.

Keywords: Compact two-point homogeneous space; Convex order; Elliptically contoured random field; Gaussian random field; Peakedness (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2022.109594

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