First-order Dominance

Stronger Characterization and a Bivariate Checking Algorithm

Troels Martin Range, Lars Peter Østerdal

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Resumé

How to determine whether one distribution first-order dominates another is a fundamental problem that has many applications in economics, finance, probability theory, and statistics. Nevertheless, little is known about how to efficiently check first-order dominance for finite multivariate distributions. Utilizing that this problem can be formulated as a transportation problem with a special structure, we provide a stronger characterization of multivariate first-order dominance and develop a linear time complexity checking algorithm for the bivariate case. We illustrate the use of the checking algorithm when numerically assessing first-order dominance among continuous bivariate distributions.
Originalsprog Engelsk Mathematical Programming 173 1/2 193-219 27 0025-5610 https://doi.org/10.1007/s10107-017-1213-9 Udgivet - jan. 2019

Bibliografisk note

Published online: 2. December 2017

Emneord

• Multivariate first-order dominance
• Usual stochastic order
• Characterization
• Network problem
• Checking algorithm

Citer dette

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Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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