Stochastic dominance relations for generalised parametric distributions obtained through composition

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Stochastic dominance relations for generalised parametric distributions obtained through composition

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Stochastic dominance relations for generalised parametric distributions obtained through composition

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA20-16764S" target="_blank" >GA20-16764S: Zobecněný přístup ke stochastické dominanci: teorie a finanční aplikace</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Metron

ISSN

0026-1424

e-ISSN

—

Svazek periodika

78

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

15

Strana od-do

297-311

Kód UT WoS článku

000562937700001

EID výsledku v databázi Scopus

2-s2.0-85089867361