Stochastic orders on two-dimensional space: application to cross entropy (Q1997242)

The authors present the extension of the ordering between 1d probability mass functions (PMFs) to the ordering between 2d PMFs. They study the general case of non-independent random variables, and give some particular results for independent ones. They show also how the order between 2d PMFs submits the same order between the marginal probabilities. The paper introduces the concept of comonotonicity and shows its direct relationship with likelihood-ratio order. Section 2 contains a review of the first stochastic and likelihood-ratio between 1d PMFs. Section 3 introduces the stochastic order between 2d PMFs. Section 4 considers 1d and 2d comonotonic sequences and its relationship to the corresponding 1d or 2d likelihood-ratio order. Section 5 presents conclusions. For the entire collection see [Zbl 1455.68026].