Published In
Probability in the Engineering & Informational Sciences
Document Type
Article
Publication Date
10-1-2005
Subjects
Multivariate analysis, Variables (Mathematics), Stochastic orders
Abstract
To compare two multivariate random vectors of the same dimension, we define a new stochastic order called upper orthant dispersive ordering and study its properties. We study its relationship with positive dependence and multivariate hazard rate ordering as defined by Hu, Khaledi, and Shaked (Journal of Multivariate Analysis, 2002). It is shown that if two random vectors have a common copula and if their marginal distributions are ordered according to dispersive ordering in the same direction, then the two random vectors are ordered according to this new upper orthant dispersive ordering. Also, it is shown that the marginal distributions of two upper orthant dispersive ordered random vectors are also dispersive ordered. Examples and applications are given.
DOI
10.1017/S0269964805050278
Persistent Identifier
http://archives.pdx.edu/ds/psu/9506
Citation Details
Khaledi, E. and Kochar, S. (2005). Dependence, dispersiveness, and multivariate hazard rate ordering. Probability in the Engineering and Informational Sciences, 19, pp 427-446.
Description
This is the publisher's final PDF. Article appears in Probability in the Engineering and Informational Sciences (http://journals.cambridge.org/action/displayJournal?jid=PES) and is Copyright © 2005 Cambridge University Press.