Checking for orthant orderings between discrete multivariate distributions: An algorithm

Rainer Dyckerhoff, Hartmut Holz and Karl Mosler

No 1/98, Discussion Papers in Econometrics and Statistics from University of Cologne, Institute of Econometrics and Statistics

Abstract: We consider four orthant stochastic orderings between random vectors X and Y that have finitely discrete probability distributions in IRk. For each of the orderings conditions have been developed that are necessary and sufficient for dominance of Y over X. We present an algorithm that checks these conditions in an efficient way by operating on a semilattice generated by the support of the two distributions. In particular, the algorithm can be used to compute multivariate Smirnov statistics.

Keywords: Multivariate stochastic orders; decision under risk; comparison of empirical distribution functions (search for similar items in EconPapers)
Date: 1998
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