Comparison of the multivariate skew-normal random vectors based on the integral stochastic ordering

Dariush Jamali, Mehdi Amiri and Ahad Jamalizadeh

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 22, 5215-5227

Abstract: In this paper, we derive the conditions to compare multivariate skew-normal random vectors X and Y. Then, we present an identity for E(f(Y)−f(X)), where the function f fulfills some weak regularity conditions. For comparison purposes, we use six important cases of the integral stochastic orders: the usual order, the convex order, the increasing convex order, the upper orthant order, the directionally convex order, and the supermodular order.

Date: 2021
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DOI: 10.1080/03610926.2020.1740934

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