Partial stochastic dominance for the multivariate Gaussian distribution

DOI10.1016/J.SPL.2015.04.018MaRDI QIDQ893963zbMATH OpenOpenAlexFDO

Authors J. Whitehead, Amanda G. Turner

Publication date 23 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.0936, https://eprints.lancs.ac.uk/id/eprint/70760/2/TurnerWhiteheadRevised.pdf

zbMATH Keywords

multivariate normal distributionstochastic dominanceGaussian comparison inequalitiespositive intraclass correlation coefficient

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Approximations to statistical distributions (nonasymptotic) (62E17) Order statistics; empirical distribution functions (62G30)

Abstract: Gaussian comparison inequalities provide a way of bounding probabilities relating to multivariate Gaussian random vectors in terms of probabilities of random variables with simpler correlation structures. In this paper, we establish the partial stochastic dominance result that the cumulative distribution function of the maximum of a multivariate normal random vector, with positive intraclass correlation coefficient, intersects the cumulative distribution function of a standard normal random variable at most once. This result can be applied to the Bayesian design of a clinical trial in which several experimental treatments are compared to a single control.

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Cites work

• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 782652 (Why is no real title available?)
• An asymptotic expansion for a class of multivariate normal integrals
• Some Inequalities on Mill's Ratio and Related Functions

Cited in

(4)

• Multivariate Stochastic Dominance and Moments
• Generalized \(p\) value for multivariate Gaussian stochastic processes in continuous time
• Bayesian sample sizes for exploratory clinical trials comparing multiple experimental treatments with a control
• Dispersive ordering for the multivariate normal distribution

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