Multivariate stochastic dominance and moments

Multivariate stochastic dominance and moments

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Article ID: iaor19912094
Country: United States
Volume: 16
Start Page Number: 382
End Page Number: 389
Publication Date: Apr 1991
Journal: Mathematics of Operations Research
Authors: ,
Abstract:

The sequence equ1of equ2degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, equ3implies equ4for the (d-1)-dimensional marginals. Also some necessary conditions for equ5are established. These conditions, which involve moments, are analogous to the ones proved by Fishburn and O'Brien for univariate distributions.

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