Abstrakt
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 |
---|---|
Tidsskrift | Mathematical Programming |
Vol/bind | 173 |
Udgave nummer | 1/2 |
Sider (fra-til) | 193-219 |
Antal sider | 27 |
ISSN | 0025-5610 |
DOI | |
Status | Udgivet - jan. 2019 |
Bibliografisk note
Published online: 2. December 2017Emneord
- Multivariate first-order dominance
- Usual stochastic order
- Characterization
- Network problem
- Checking algorithm