Multivariate stochastic dominance for multivariate normal distribution.

DOI10.14736/KYB-2018-6-1264MaRDI QIDQ3120389zbMATH OpenOpenAlexFDO

Authors Barbora Petrová

Publication date 1 March 2019

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147609

zbMATH Keywords

multivariate normal distributionmultivariate stochastic dominancestochastic dominance rules

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Multivariate distribution of statistics (62H10)

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Cited in

(7)

• First-order dominance: stronger characterization and a bivariate checking algorithm
• A stochastic dominance comparison of truncated normal distributions
• Asymptotic multivariate dominance: a financial application
• Multivariate concave and convex stochastic dominance
• Multivariate Stochastic Dominance and Moments
• Sulla dominaza stocastical multivariata
• Partial stochastic dominance for the multivariate Gaussian distribution

Describes a project that uses

Uses Software

• Mathematica

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