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Stochastic comparison for elliptically contoured random fields

Author

Listed:
  • Lu, Tianshi
  • Du, Juan
  • Ma, Chunsheng

Abstract

This paper presents necessary and sufficient conditions for the peakedness comparison and convex ordering between two elliptically contoured random fields about their centers. A somewhat surprising finding is that the peakedness comparison for the infinite dimensional case differs from the finite dimensional case. For example, a Student’s t distribution is known to be more heavy-tailed than a normal distribution, but a Student’s t random field and a Gaussian random field are not comparable in terms of the peakedness. In particular, the peakedness comparison and convex ordering are made for isotropic elliptically contoured random fields on compact two-point homogeneous spaces.

Suggested Citation

  • Lu, Tianshi & Du, Juan & Ma, Chunsheng, 2022. "Stochastic comparison for elliptically contoured random fields," Statistics & Probability Letters, Elsevier, vol. 189(C).
    • Handle: RePEc:eee:stapro:v:189:y:2022:i:c:s0167715222001407
    DOI: 10.1016/j.spl.2022.109594
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    References listed on IDEAS

    as
    1. Chunsheng Ma & Anatoliy Malyarenko, 2020. "Time-Varying Isotropic Vector Random Fields on Compact Two-Point Homogeneous Spaces," Journal of Theoretical Probability, Springer, vol. 33(1), pages 319-339, March.
    2. Huang, Steel T. & Cambanis, Stamatis, 1979. "Spherically invariant processes: Their nonlinear structure, discrimination, and estimation," Journal of Multivariate Analysis, Elsevier, vol. 9(1), pages 59-83, March.
    3. Tianshi Lu & Chunsheng Ma, 2020. "Isotropic Covariance Matrix Functions on Compact Two-Point Homogeneous Spaces," Journal of Theoretical Probability, Springer, vol. 33(3), pages 1630-1656, September.
    Full references (including those not matched with items on IDEAS)

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