An algorithm for multivariate
weak stochastic dominance
Rainer Dyckerhoff, Hartmut Holz, Karl Mosler
Abstract:
The paper addresses the computational problem of comparing discrete probability
distributions in k-space with respect to two stochastic orderings.
Both orderings are extensions of the usual univariate stochastic order
and are weaker orderings than Lehmann's multivariate stochastic order.
An algorithm is presented which operates efficiently on a semilattice generated
by the support of the two distributions. Applications are given to tests
for multivariate slippage and peakedness and to the analysis of stochastic
dependency.
Rainer Dyckerhoff
Fri Nov 22 14:16:47 MET 1996