Multivariate stochastic dominance for multivariate normal distribution

Barbora Petrová

Kybernetika (2018)

  • Volume: 54, Issue: 6, page 1264-1283
  • ISSN: 0023-5954

Abstract

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Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal distribution. We propose the stochastic dominance rules for multivariate normal distribution and provide a rigorous proof. In a computational experiment we employ these rules to test its efficiency comparing to other methods of stochastic dominance detection.

How to cite

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Petrová, Barbora. "Multivariate stochastic dominance for multivariate normal distribution." Kybernetika 54.6 (2018): 1264-1283. <http://eudml.org/doc/294181>.

@article{Petrová2018,
abstract = {Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal distribution. We propose the stochastic dominance rules for multivariate normal distribution and provide a rigorous proof. In a computational experiment we employ these rules to test its efficiency comparing to other methods of stochastic dominance detection.},
author = {Petrová, Barbora},
journal = {Kybernetika},
keywords = {multivariate stochastic dominance; multivariate normal distribution; stochastic dominance rules},
language = {eng},
number = {6},
pages = {1264-1283},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Multivariate stochastic dominance for multivariate normal distribution},
url = {http://eudml.org/doc/294181},
volume = {54},
year = {2018},
}

TY - JOUR
AU - Petrová, Barbora
TI - Multivariate stochastic dominance for multivariate normal distribution
JO - Kybernetika
PY - 2018
PB - Institute of Information Theory and Automation AS CR
VL - 54
IS - 6
SP - 1264
EP - 1283
AB - Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal distribution. We propose the stochastic dominance rules for multivariate normal distribution and provide a rigorous proof. In a computational experiment we employ these rules to test its efficiency comparing to other methods of stochastic dominance detection.
LA - eng
KW - multivariate stochastic dominance; multivariate normal distribution; stochastic dominance rules
UR - http://eudml.org/doc/294181
ER -

References

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