Stochastic comparisons of sample mean differences for multivariate random variables
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2019
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| _version_ | 1866911518946230272 |
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| author | Yin, Xuehua Zhu, Dan Yin, Chuancun |
| author_facet | Yin, Xuehua Zhu, Dan Yin, Chuancun |
| contents | 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 by Samanthi, Wei and Brazauskas (2016) and Kim and Kim (2019) are also suitable for multivariate elliptical risks. We also study the tail probability of Gini index for multivariate elliptical risks and revised a large deviation result for the Gini indexes of multivariate normal risks in Kim and Kim (2019). |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1908_01943 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Stochastic comparisons of sample mean differences for multivariate random variables Yin, Xuehua Zhu, Dan Yin, Chuancun Risk Management Statistics Theory 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 by Samanthi, Wei and Brazauskas (2016) and Kim and Kim (2019) are also suitable for multivariate elliptical risks. We also study the tail probability of Gini index for multivariate elliptical risks and revised a large deviation result for the Gini indexes of multivariate normal risks in Kim and Kim (2019). |
| title | Stochastic comparisons of sample mean differences for multivariate random variables |
| topic | Risk Management Statistics Theory |
| url | https://arxiv.org/abs/1908.01943 |