When Lorenz met Lyapunov

We provide a simple characterization of the zonoid, lift zonoid, Lorenz zonoid of a random vector, as defined by Koshevoy and Mosler (J. Amer. Statist. Assoc. 91 (1996) 873; Bernoulli 4 (1998) 377). This characterization allows a direct use of Lyapunov's theorem on the range of nonatomic vector measures and therefore simplifies the proof of some results.

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Year of publication:	2001
Authors:	Dall'Aglio, Marco ; Scarsini, Marco
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 54.2001, 1, p. 101-105
Publisher:	Elsevier
Keywords:	Lorenz zonoid Lift zonoid Vector measure Lyapunov's theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211907