Partial stochastic dominance for the multivariate Gaussian distribution

作者：Turner Amanda^*; Whitehead John

来源：Statistics & Probability Letters, 2015, 103: 80-85.

DOI：10.1016/j.spl.2015.04.018

• Gaussian comparison inequalities
• Stochastic dominance
• Multivariate normal distribution
• Positive intraclass correlation coefficient

We establish a partial stochastic dominance result for the maximum of a multivariate Gaussian random vector with positive intraclass correlation coefficient and negative expectation. Specifically, we show that the distribution function intersects that of a standard Gaussian exactly once.

• 出版日期2015-8