Rights statement: This is the pre-print version of a work that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Statistics and Probability Letters, 103, 2015 10.1016/j.spl.2015.04.018
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Partial stochastic dominance for the multivariate Gaussian distribution
AU - Turner, Amanda
AU - Whitehead, John
N1 - This is the pre-print version of a work that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Statistics and Probability Letters, 103, 2015 10.1016/j.spl.2015.04.018 7 pages
PY - 2015/8
Y1 - 2015/8
N2 - 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.
AB - 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.
KW - math.PR
KW - Primary: 60E15, Secondary: 62E17, 62G30
U2 - 10.1016/j.spl.2015.04.018
DO - 10.1016/j.spl.2015.04.018
M3 - Journal article
VL - 103
SP - 80
EP - 85
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
SN - 0167-7152
ER -