1. A multivariate dispersion ordering based on quantiles more widely separated
- Author
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Alfonso Suárez-Llorens and J. M. Fernández-Ponce
- Subjects
Statistics and Probability ,Expansion ,Numerical Analysis ,Multivariate statistics ,Multivariate analysis ,Multivariate random variable ,Multivariate ordering ,Univariate ,Matrix t-distribution ,Multivariate analysis of variance ,Conditional quantile ,Statistics ,Applied mathematics ,Statistics::Methodology ,Multivariate t-distribution ,Statistics, Probability and Uncertainty ,Corrected orthant ,Multivariate stable distribution ,Mathematics - Abstract
A multivariate dispersion ordering based on quantiles more widely separated is defined. This new multivariate dispersion ordering is a generalization of the classic univariate version. If we vary the ordering of the components in the multivariate random variable then the comparison could not be possible. We provide a characterization using a multivariate expansion function. The relationship among various multivariate orderings is also considered. Finally, several examples illustrate the method of this paper.
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