Partial stochastic dominance for the multivariate Gaussian distribution

Turner, Amanda and Whitehead, John (2015) Partial stochastic dominance for the multivariate Gaussian distribution. Statistics and Probability Letters, 103. pp. 80-85. ISSN 0167-7152

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We establish a partial stochastic dominance result for the maximum of a multivariate Gaussian random vector with positive intraclass correlation coefficient and negative expectation. Specifically, we show that the distribution function intersects that of a standard Gaussian exactly once.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Probability Letters
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This is the pre-print version of a work that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Statistics and Probability Letters, 103, 2015 10.1016/j.spl.2015.04.018 7 pages
Uncontrolled Keywords:
?? math.prprimary: 60e15, secondary: 62e17, 62g30statistics and probabilitystatistics, probability and uncertainty ??
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Deposited On:
12 Sep 2014 09:59
Last Modified:
02 Feb 2024 00:30