Stochastic Orderings of Multivariate Elliptical Distributions
share
Let X and X be two n-dimensional elliptical random vectors, we establish an identity for E[f( Y)]-E[f( X)], where f: R^n →R fulfilling some regularity conditions. Using this identity we provide a unified derivation of sufficient and necessary conditions for classifying multivariate elliptical random vectors according to several main integral stochastic orders. As a consequence we obtain new inequalities by applying it to multivariate elliptical distributions. The results generalize the corresponding ones for multivariate normal random vectors in the literature.
READ FULL TEXT