Majorants and minorants for elliptical measures on R^ k

DOI10.1006/JMVA.1993.1083MaRDI QIDQ1321985zbMATH OpenOpenAlexFDO

Authors Donald R. Jensen

Publication date 6 June 1994

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1993.1083

zbMATH Keywords

ballistic systemselliptically contoured measuresenvelopesmajorantminorantpeakedness ordering of measuresquadratic formsstochastic bounds

Mathematics Subject Classification ID

Statistical distribution theory (62E99) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

Based on two elliptically contoured measures centered at zero, two probability measures having the least upper and the greatest lower bound, respectively, are constructed. These new probability measures, known as majorant and minorant of the original elliptically contoured measures, are useful for investigating distributional properties of functions of the two elliptically contoured measures. Especially, envelopes for some nonstandard distributions of quadratic forms are provided. In addition, some applications to stochastic characteristics of ballistic systems are given for illustration.

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Cited in

(2)

• Bounds on Mahalanobis norms and their applications
• Ordering Ellipsoidal Measures: Scale and Peakedness Orderings

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