Variability orders and mean differences
Several well-known stochastic orderings are defined in terms of iterated integrals of distribution or survival functions. In this note we will provide necessary conditions for some variability orderings of the above type. These conditions will be based on the comparison of mean differences, which will be written by using the iterated integrals of survival and distribution functions. An interesting by-product of this idea is a curious formula for the variance. A bivariate version of the above results will be provided, as well.
Year of publication: |
1999
|
---|---|
Authors: | Bassan, Bruno ; Denuit, Michel ; Scarsini, Marco |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 45.1999, 2, p. 121-130
|
Publisher: |
Elsevier |
Keywords: | Stochastic orders of convex-type nth degree stochastic dominance Variance |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Stochastic comparisons of Itô processes
Bassan, Bruno, (1993)
-
Positive value of information in games
Bassan, Bruno, (2001)
-
Sequential decisions with several agents
Scarsini, Marco, (1998)
- More ...