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Media type:
E-Article
Title:
Multivariate Convex Orderings, Dependence, and Stochastic Equality
Contributor:
Scarsini, Marco
Published:
Cambridge University Press (CUP), 1998
Published in:
Journal of Applied Probability, 35 (1998) 1, Seite 93-103
Language:
English
DOI:
10.1017/s0021900200014704
ISSN:
0021-9002;
1475-6072
Origination:
Footnote:
Description:
<jats:p>We consider the convex ordering for random vectors and some weaker versions of it, like the convex ordering for linear combinations of random variables. First we establish conditions of stochastic equality for random vectors that are ordered by one of the convex orderings. Then we establish necessary and sufficient conditions for the convex ordering to hold in the case of multivariate normal distributions and sufficient conditions for the positive linear convex ordering (without the restriction to multi-normality).</jats:p>