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Title:Checking for orthant orderings between discrete multivariate distributions: An algorithm PDF Logo
Authors:Dyckerhoff, Rainer
Holz, Hartmut
Mosler, Karl
Issue Date:1998
Series/Report no.:Discussion papers in statistics and econometrics 1/98
Abstract:We consider four orthant stochastic orderings between random vectors X and Y that have finitely discrete probability distributions in IRk. For each of the orderings conditions have been developed that are necessary and sufficient for dominance of Y over X. We present an algorithm that checks these conditions in an efficient way by operating on a semilattice generated by the support of the two distributions. In particular, the algorithm can be used to compute multivariate Smirnov statistics.
Subjects:Multivariate stochastic orders
decision under risk
comparison of empirical distribution functions
Document Type:Working Paper
Appears in Collections:Discussion Papers in Econometrics and Statistics, Institut für Ökonometrie und Statistik, Universität Köln

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