MULTIVARIATE STOCHASTIC DOMINANCE FOR MULTIVARIATE NORMAL DISTRIBUTION
Result description
Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal distribution. We propose the stochastic dominance rules for multivariate normal distribution and provide a rigorous proof. In a computational experiment we employ these rules to test its efficiency comparing to other methods of stochastic dominance detection.
Keywords
stochastic dominance rulesmultivariate normal distributionmultivariate stochastic dominance
The result's identifiers
Result code in IS VaVaI
Result on the web
https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=GH8sgdKCwz
DOI - Digital Object Identifier
Alternative languages
Result language
angličtina
Original language name
MULTIVARIATE STOCHASTIC DOMINANCE FOR MULTIVARIATE NORMAL DISTRIBUTION
Original language description
Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal distribution. We propose the stochastic dominance rules for multivariate normal distribution and provide a rigorous proof. In a computational experiment we employ these rules to test its efficiency comparing to other methods of stochastic dominance detection.
Czech name
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Czech description
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Classification
Type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
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Volume of the periodical
54
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
20
Pages from-to
1264-1283
UT code for WoS article
000457070200012
EID of the result in the Scopus database
2-s2.0-85064221578
Basic information
Result type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
OECD FORD
Statistics and probability
Year of implementation
2018