A stochastic order for random vectors and random sets based on the Aumann expectation

Molchanov, Ilya; Cascos Fernández, Ignacio (2003). A stochastic order for random vectors and random sets based on the Aumann expectation. Statistics & probability letters, 63(3), pp. 295-305. North-Holland 10.1016/S0167-7152(03)00094-4

Text 1-s2.0-S0167715203000944-main.pdf - Published Version Restricted to registered users only Available under License Publisher holds Copyright. Download (227kB)

We de1ne a new stochastic order for random vectors in terms of the inclusion relation for the Aumann expectation of certain random sets. We derive some properties of this order, relate it with other well-known multivariate stochastic convex orders, give a geometrical interpretation in terms of the lift zonoid, build a
probability metric based on it and extend it to compare random compact sets. Furthermore, a new characterisation of the linear convex order for random vectors is described and the corresponding concept is extended to compare random compact sets.

Interest & Impact

Downloads

3 since deposited on 08 Aug 2016
0 in the past 12 months

Citations

5 Citations in Web of Science ®
6 Citations in Scopus

Search

in Google Scholar™

Services

Actions (login required)

Edit item

Actions (login required)

Edit item