MULTIVARIATE STOCHASTIC DOMINANCE FOR MULTIVARIATE NORMAL DISTRIBUTION

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

MULTIVARIATE STOCHASTIC DOMINANCE FOR MULTIVARIATE NORMAL DISTRIBUTION

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

MULTIVARIATE STOCHASTIC DOMINANCE FOR MULTIVARIATE NORMAL DISTRIBUTION

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Kybernetika

ISSN

0023-5954

e-ISSN

—

Svazek periodika

54

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

20

Strana od-do

1264-1283

Kód UT WoS článku

000457070200012

EID výsledku v databázi Scopus

2-s2.0-85064221578