Resumé
| Sprog | Engelsk |
|---|---|
| Tidsskrift | Mathematical Programming |
| Vol/bind | 173 |
| Udgave nummer | 1/2 |
| Sider | 193-219 |
| Antal sider | 27 |
| ISSN | 0025-5610 |
| DOI | |
| Status | 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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First-order Dominance : Stronger Characterization and a Bivariate Checking Algorithm. / Martin Range, Troels; Østerdal, Lars Peter.
I: Mathematical Programming, Bind 173, Nr. 1/2, 01.2019, s. 193-219.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
TY - JOUR
T1 - First-order Dominance
T2 - Mathematical Programming
AU - Martin Range,Troels
AU - Østerdal,Lars Peter
N1 - Published online: 2. December 2017
PY - 2019/1
Y1 - 2019/1
N2 - 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.
AB - 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.
KW - Multivariate first-order dominance
KW - Usual stochastic order
KW - Characterization
KW - Network problem
KW - Checking algorithm
KW - Multivariate first-order dominance
KW - Usual stochastic order
KW - Characterization
KW - Network problem
KW - Checking algorithm
UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954925422131
U2 - 10.1007/s10107-017-1213-9
DO - 10.1007/s10107-017-1213-9
M3 - Journal article
VL - 173
SP - 193
EP - 219
JO - Mathematical Programming
JF - Mathematical Programming
SN - 0025-5610
IS - 1/2
ER -