First-order Dominance

Stronger Characterization and a Bivariate Checking Algorithm

Troels Martin Range, Lars Peter Østerdal

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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.
OriginalsprogEngelsk
TidsskriftMathematical Programming
Vol/bind173
Udgave nummer1/2
Sider (fra-til)193-219
Antal sider27
ISSN0025-5610
DOI
StatusUdgivet - jan. 2019

Bibliografisk note

Published online: 2. December 2017

Emneord

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

Citer dette

Martin Range, Troels ; Østerdal, Lars Peter. / First-order Dominance : Stronger Characterization and a Bivariate Checking Algorithm. I: Mathematical Programming. 2019 ; Bind 173, Nr. 1/2. s. 193-219.
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Martin Range, T & Østerdal, LP 2019, 'First-order Dominance: Stronger Characterization and a Bivariate Checking Algorithm', Mathematical Programming, bind 173, nr. 1/2, s. 193-219. https://doi.org/10.1007/s10107-017-1213-9

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

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Martin Range T, Østerdal LP. First-order Dominance: Stronger Characterization and a Bivariate Checking Algorithm. Mathematical Programming. 2019 jan;173(1/2):193-219. https://doi.org/10.1007/s10107-017-1213-9

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