A multivariate dispersion ordering based on quantiles more widely separated
The authors define a multivariate stochastic dispersion order that is based on quantiles being more widely separated. This multivariate order is a generalization of the univariate dispersion order of \textit{T. Lewis} and \textit{J. W. Thompson} [J. Appl. Probab. 18, 76-90 (1981; Zbl 0453.60023)]. The authors provide a characterization of the new order by means of an expansion function. They also study the relationship of the new order to other multivariate dispersion orders. Finally, some examples illustrate the ideas and the results of this paper.
multivariate stochastic dispersion order
scientific article; zbMATH DE number 1924819
scientific article