Article ID Journal Published Year Pages File Type
1147308 Journal of Multivariate Analysis 2006 15 Pages PDF
Abstract

A new multivariate dispersion ordering based on the Hausdorff distance between nonempty convex compact sets is proposed. This dispersion ordering depends on an index, whose purpose is to blur for each random vector the ball centered at its expected value, and with a radius equal to the index. So, on the basis of such an index, we consider a random set associated with each random vector and dispersion comparisons are established by means of the Hausdorff distance associated with the random sets. Different properties of the new dispersion ordering are stated as well as some characterization theorems. Possible relationships with other dispersion orderings are also studied. Finally, several examples are developed.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis