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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Abstract

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
Additional Information:
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:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
70760
Deposited By:
Deposited On:
12 Sep 2014 09:59
Refereed?:
Yes
Published?:
Published
Last Modified:
05 Jul 2020 04:12