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Some partial orderings of positively dependent exchangeable random variables are introduced. The interrelations among them, the inequalities which follow from them and two models which yield such partial orderings are then discussed. Particular examples include ordering multivariate normal, t,...
Persistent link: https://www.econbiz.de/10005199384
It is shown that: If (X1, X2) is a permutation invariant central convex unimodal random vector and if A is a symmetric (about 0) permutation invariant convex set then P{(aX1, X2/a) [set membership, variant] A} is nondecreasing as a varies from )+ to 1 and is non-increasing as a varies from 1 to...
Persistent link: https://www.econbiz.de/10005199522