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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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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