On the theory of high convexity stochastic orders

The purpose of this note is two-fold. First we derive a simple condition under which two s-convex ordered random variables must be stochastically equal, and we indicate the potential usefulness of this result in statistics. Then we highlight the relationship between the canonical moments and the extremal distributions in the s-convex sense, and we indicate how the canonical moments can be computed using the moments of these extremal distributions.

MoreLess

Year of publication:	2000
Authors:	Denuit, Michel ; Lefèvre, Claude ; Shaked, Moshe
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 47.2000, 3, p. 287-293
Publisher:	Elsevier
Keywords:	Stochastic equality s-convexity Canonical moments Extremal distributions

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211845