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A multivariate dispersion ordering based on quantiles more widely separated

✍ Scribed by J.M. Fernandez-Ponce; A. Suarez-Llorens

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 204 KB
Volume: 85
Category: Article
ISSN: 0047-259X
DOI: 10.1016/s0047-259x(02)00038-6

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✦ Synopsis

A multivariate dispersion ordering based on quantiles more widely separated is defined. This new multivariate dispersion ordering is a generalization of the classic univariate version. If we vary the ordering of the components in the multivariate random variable then the comparison could not be possible. We provide a characterization using a multivariate expansion function. The relationship among various multivariate orderings is also considered. Finally, several examples illustrate the method of this paper.

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