First-order dominance: stronger characterization and a bivariate checking algorithm

• 成果类型: Article
• 署名作者: Range, Troels Martin; Osterdal, Lars Peter
• 署名单位: University of Southern Denmark; University of Southern Denmark; Norwegian University of Science & Technology (NTNU); Copenhagen Business School
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-017-1213-9
• 发表日期: 2019
• 页码: 193-219
• 关键词: stochastic-dominance; distributions; inequalities; rules

摘要

How to determine whether one distribution first-order dominates another is a fundamental problem that has many applications in economics, finance, probability theory, and statistics. Nevertheless, little is known about how to efficiently check first-order dominance for finite multivariate distributions. Utilizing that this problem can be formulated as a transportation problem with a special structure, we provide a stronger characterization of multivariate first-order dominance and develop a linear time complexity checking algorithm for the bivariate case. We illustrate the use of the checking algorithm when numerically assessing first-order dominance among continuous bivariate distributions.