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MULTIVARIATE STOCHASTIC DOMINANCE FOR MULTIVARIATE NORMAL DISTRIBUTION

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10401757" target="_blank" >RIV/00216208:11320/18:10401757 - isvavai.cz</a>

  • Result on the web

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=GH8sgdKCwz" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=GH8sgdKCwz</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.14736/kyb-2018-6-1264" target="_blank" >10.14736/kyb-2018-6-1264</a>

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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - 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

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • 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

  • 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