Abstract
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.
Original language | English |
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Journal | Mathematical Programming |
Volume | 173 |
Issue number | 1/2 |
Pages (from-to) | 193-219 |
Number of pages | 27 |
ISSN | 0025-5610 |
DOIs | |
Publication status | Published - Jan 2019 |
Bibliographical note
Published online: 2. December 2017Keywords
- Multivariate first-order dominance
- Usual stochastic order
- Characterization
- Network problem
- Checking algorithm