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Stochastic dominance relations for generalised parametric distributions obtained through composition

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10246391" target="_blank" >RIV/61989100:27510/20:10246391 - isvavai.cz</a>

  • Result on the web

    <a href="http://apps.webofknowledge.com/full_record.do?product=WOS&search_mode=GeneralSearch&qid=2&SID=D4wubzCWv8Ek6NJPaQG&page=1&doc=2&cacheurlFromRightClick=no" target="_blank" >http://apps.webofknowledge.com/full_record.do?product=WOS&search_mode=GeneralSearch&qid=2&SID=D4wubzCWv8Ek6NJPaQG&page=1&doc=2&cacheurlFromRightClick=no</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s40300-020-00184-4" target="_blank" >10.1007/s40300-020-00184-4</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Stochastic dominance relations for generalised parametric distributions obtained through composition

  • Original language description

    Investigating stochastic dominance within flexible multi-parametric families of distributions is often complicated, owing to the high number of parameters or non-closed functional forms. To simplify the problem, we use the T-X method, making it possible to obtain generalised models through the composition of cumulative distributions and quantile functions. We derive conditions for the second-order stochastic dominance and for the increasing convex order within multi-parametric families in two steps, namely: (i) breaking them down via the T-X approach and (ii) checking dominance conditions of the (more) manageable distributions composing the model. We apply our method to some special distributions and focus on the beta-generated family, which enables the comparisons of order statistics of i.i.d. samples from (possibly) different random variables.

  • 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

    50200 - Economics and Business

Result continuities

  • Project

    <a href="/en/project/GA20-16764S" target="_blank" >GA20-16764S: A generalized approach to stochastic dominance: theory and financial applications</a><br>

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2020

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Metron

  • ISSN

    0026-1424

  • e-ISSN

  • Volume of the periodical

    78

  • Issue of the periodical within the volume

    3

  • Country of publishing house

    DE - GERMANY

  • Number of pages

    15

  • Pages from-to

    297-311

  • UT code for WoS article

    000562937700001

  • EID of the result in the Scopus database

    2-s2.0-85089867361