Filters








23,189 Hits in 6.3 sec

Stochastic ordering of bivariate elliptical distributions

Zinoviy Landsman, Andreas Tsanakas
2006 Statistics and Probability Letters  
Abstract It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance  ...  stochastic orders respectively, can be simply characterised in terms of the vector's Σ-matrix.  ...  It is now shown that for bivariate elliptically distributed random vectors the concordance ordering is equivalent to the ordering of correlation coefficients.  ... 
doi:10.1016/j.spl.2005.08.016 fatcat:xbpufjyqfze4zex3vpjtc6cz4y

Stochastic Ordering of Bivariate Elliptical Distributions

Zinoviy Landsman, Andreas Tsanakas
2007 Social Science Research Network  
Abstract It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance  ...  stochastic orders respectively, can be simply characterised in terms of the vector's Σ-matrix.  ...  It is now shown that for bivariate elliptically distributed random vectors the concordance ordering is equivalent to the ordering of correlation coefficients.  ... 
doi:10.2139/ssrn.1005988 fatcat:wadv4eqamzalxnf4feah4x33cy

Stochastic ordering of Gini indexes for multivariate elliptical random variables [article]

Chuancun Yin
2019 arXiv   pre-print
In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks.  ...  It is shown that several conditions on dispersion matrices and the components of dispersion matrices of multivariate normal risks for the monotonicity of the Gini index in the usual stochastic order proposed  ...  Acknowledgements The author is grateful to Managing Editor Rob Kaas and the referees for their suggestions which helped to improve this article.  ... 
arXiv:1908.01943v3 fatcat:liy3y7r3e5dvzdexrabmcrv7i4

Stochastic Orderings of the Location-Scale Mixture of Elliptical Distribution [article]

Tong Pu, Chuancun Yin
2021 arXiv   pre-print
We give some sufficient and/or necessary conditions for various of integral stochastic orders.  ...  The integral orders considered here are the usual, upper orthant, supermodular, convex, increasing convex and directionally convex stochastic orders.  ...  Davidov and Peddada [17] showed an important result that the positive linear usual stochastic order coincides with the multivariate usual stochastic order for elliptically distributed random vectors.  ... 
arXiv:2103.16227v2 fatcat:qzhszpui6rbwhhe2ohlfsrhdsy

Stochastic Orderings of Multivariate Elliptical Distributions [article]

Chuancun Yin
2019 arXiv   pre-print
Using this identity we provide a unified derivation of sufficient and necessary conditions for classifying multivariate elliptical random vectors according to several main integral stochastic orders.  ...  Let X and X be two n-dimensional elliptical random vectors, we establish an identity for E[f( Y)]-E[f( X)], where f: R^n →R fulfilling some regularity conditions.  ...  Acknowledgements The author would like to thank Professor Xiaowen Zhou for helpful comments on an earlier draft of the paper.  ... 
arXiv:1910.07158v3 fatcat:vwn5dt2cure5vmiyx33atuwdsa

Portfolio selection through an extremality stochastic order

Henry Laniado, Rosa E. Lillo, Franco Pellerey, Juan Romo
2012 Insurance, Mathematics & Economics  
In this paper we introduce a new multivariate stochastic order that compares random vectors in a direction which is determined by a unit vector, generalizing previous upper and lower orthant order.  ...  The main properties of this new order, together with its relationships with other multivariate stochastic orders, are investigated and, we present some examples of application in the determination of optimal  ...  Conclusions We have introduced in this paper a generalization of the upper and lower orthant orders. This new stochastic order allows for comparisons of random vectors in different directions.  ... 
doi:10.1016/j.insmatheco.2012.02.010 fatcat:ppbj66yywnfcdkizgtfgdnq2ym

An extension of Wick's theorem [article]

C. Vignat, S. Bhatnagar
2007 arXiv   pre-print
Then, as a special case, we detail this result for distributions that are Gaussian scale mixtures.  ...  of a result by Repetowicz et al. about Wick's theorem and its applications: we first show that Wick's theorem can be extended to the uniform distribution on the sphere and then to the whole class of elliptical  ...  B. for his nice welcome.  ... 
arXiv:0709.1999v1 fatcat:y4suqnqrffhi5mzb7uuox2d6bu

Beneficial changes in dependence structures and two-moment decision models

Thomas Eichner, Andreas Wagener
2010 Operations Research Letters  
For elliptical distributions, the elasticity condition is equivalent to relative prudence being smaller than one.  ...  Stochastic orders.  ...  distributions and stochastic orders Expected utility and elliptical distributions.  ... 
doi:10.1016/j.orl.2010.02.002 fatcat:qj7ylyhi6jfnhalwjjs372rfki

Page 7401 of Mathematical Reviews Vol. , Issue 94m [page]

1994 Mathematical Reviews  
(UKR-AOS; Kiev) Observations of random vectors in a space of infinitely increasing dimension. (English summary) Random Oper. Stochastic Equations 1 (1993), no. 2, 129-149.  ...  Let X;,---,Xm be independent and identically distributed random vectors in R". The random set M\”) of (X,,---,Xm) is studied when both m and n approach infinity [B. V.  ... 

An extension of Wick's theorem

C. Vignat, S. Bhatnagar
2008 Statistics and Probability Letters  
Then, as a special case, we detail this result for distributions that are scale mixtures of Gaussians.  ...  (Repetowicz 2004 ) about Wick's theorem and its applications: we first show that Wick's theorem can be extended to the uniform distribution on the sphere and then to the whole class of elliptical distributions  ...  B. for his nice welcome. The authors thank the reviewer for his interesting remarks.  ... 
doi:10.1016/j.spl.2008.03.003 fatcat:jpmasfzb2fdypkowfnxixskwiq

Page 995 of American Society of Civil Engineers. Collected Journals Vol. 119, Issue 5 [page]

1993 American Society of Civil Engineers. Collected Journals  
stochastic surface; metric factor; = integral expression in solution for elliptical surface; = mth-order modified Bessel function; = integral expression in solution for stochastic surface; = parameters  ...  vector Z; cross-covariance matrix for vectors Z and Z; = parabolic cylinder function; = expected number of outcrossings from safe region; = complete elliptical integral; probability density function;  ... 

Tensor-based techniques for fast discretization and solution of 3D elliptic equations with random coefficients [article]

Venera Khoromskaia, Boris N. Khoromskij
2020 arXiv   pre-print
L for the homogenized matrix for 2D elliptic PDEs with random coefficients was investigated numerically.  ...  In this paper, we propose and analyze the numerical algorithms for fast solution of periodic elliptic problems in random media in R^d, d=2,3.  ...  Felix Otto for useful discussions and motivation to develop an efficient solution scheme for the 3D elliptic PDEs with random coefficients in relation to numerical simulations for stochastic homogenization  ... 
arXiv:2007.06524v2 fatcat:v4mxywxgsjbaln4y7rbpnq5xtq

Asymptotics for Kotz Type III elliptical distributions

Enkelejd Hashorva
2009 Statistics and Probability Letters  
In this paper we derive the tail asymptotics of a Kotz Type III elliptical random vector.  ...  As an application of our asymptotic expansion we derive an approximation for the conditional excess distribution.  ...  See Kotz (1975) and Nadarajah (2003) for the main properties of Kotz Type I elliptical random vectors.  ... 
doi:10.1016/j.spl.2008.11.015 fatcat:o2kvr4g7qffizo3wcrj3wh5jeu

Page 3158 of Mathematical Reviews Vol. , Issue 97E [page]

1997 Mathematical Reviews  
(UKR-KIEV-A; Kiev) The elliptic law: ten years later. II. (English summary) Random Oper. Stochastic Equations 3 (1995), no. 4, 377-398. Summary: “In this paper we prove the elliptic law.  ...  (UKR-KIEV-A; Kiev) The elliptic law: ten years later. 1. (English summary) Random Oper. Stochastic Equations 3 (1995), no. 3, 257-302. 97e:60062b 60F99 62H10 Girko, V. L.  ... 

Integral stochastic ordering of the multivariate normal mean-variance and the skew-normal scale-shape mixture models

Dariush Jamali, Mehdi Amiri, Ahad Jamalizadeh, N. Balakrishnan
2020 Statistics, Optimization and Information Computing  
Moreover‎, ‎for bivariate random vectors‎, ‎in the sense of stop-loss and bivariate concordance stochastic orders‎, ‎the dependence strength of random portfolios is characterized in terms of order of correlations‎  ...  We then derive necessary and sufficient conditions for comparing the random vectors from these two classes of distributions‎. ‎  ...  Acknowledgements The authors are very grateful to the associate editor and reviewers for their valuable comments and suggestions on earlier version of this article.  ... 
doi:10.19139/soic-2310-5070-863 fatcat:uws6jo7wozbxhdd2idusdjp3je
« Previous Showing results 1 — 15 out of 23,189 results