Multivariate Stochastic Dominance and Moments

The sequence ≥nd of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, ≥nd implies ≥nd−1 for the (d−1) - dimensional marginals. Also some necessary conditions for ≥nd are established. These conditions, which involve moments, are analogous to the ones proved by Fishburn (1980b) and O'Brien (1984) for univariate distributions

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Year of publication:	2012
Authors:	O'Brien, George ; Scarsini, Marco
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Wahrscheinlichkeitsrechnung \| Probability theory \| Multivariate Analyse \| Multivariate analysis
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Mathematics of Operations Research, Vol. 16, No. 2, pp. 382-389 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 11, 2012 erstellt Volltext nicht verfügbar
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014041282