Preserving multivariate dispersion: An application to the Wishart distribution

Univariate dispersive ordering has been extensively characterized by many authors over the last two decades. However, the multivariate version lacks extensive analysis. In this paper, sufficient and necessary conditions are given to preserve the strong multivariate dispersion order through properties of the corresponding transformation. Finally, these results are applied to the Wishart distribution which can be viewed as "the spread of the dispersion".

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Year of publication:	2006
Authors:	Fernández-Ponce, J.M. ; Rodríguez-Griñolo, R.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 5, p. 1208-1220
Publisher:	Elsevier
Keywords:	Contraction Dispersion ordering Transformations Wishart distribution

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

Persistent link: https://www.econbiz.de/10005021335