کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146811 1489695 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hessian orders and multinormal distributions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Hessian orders and multinormal distributions
چکیده انگلیسی

Several well known integral stochastic orders (like the convex order, the supermodular order, etc.) can be defined in terms of the Hessian matrix of a class of functions. Here we consider a generic Hessian order, i.e., an integral stochastic order defined through a convex cone HH of Hessian matrices, and we prove that if two random vectors are ordered by the Hessian order, then their means are equal and the difference of their covariance matrices belongs to the dual of HH. Then we show that the same conditions are also sufficient for multinormal random vectors. We study several particular cases of this general result.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 100, Issue 10, November 2009, Pages 2324–2330
نویسندگان
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