Partial stochastic dominance for the multivariate Gaussian distribution

DOI10.1016/J.SPL.2015.04.018zbMATH Open1328.60055arXiv1407.0936OpenAlexW2951768788MaRDI QIDQ893963FDOQ893963

Authors: J. Whitehead, Amanda G. Turner 

Publication date: 23 November 2015

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

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.

Full work available at URL: https://arxiv.org/abs/1407.0936

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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)

Cites Work

• Title not available (Why is that?)
• Some Inequalities on Mill's Ratio and Related Functions
• Title not available (Why is that?)
• An asymptotic expansion for a class of multivariate normal integrals

Cited In (3)

• Multivariate Stochastic Dominance and Moments
• Generalized \(p\) value for multivariate Gaussian stochastic processes in continuous time
• DISPERSIVE ORDERING FOR THE MULTIVARIATE NORMAL DISTRIBUTION

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