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Some conditions for stochastic equality

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  • Marco Scarsini
  • Moshe Shaked

Abstract

If two random vectors are stochastically ordered and have the same marginal distributions then they must have the same joint distribution. In this article we obtain some variations of this result. For example, we show that, for nonnegative random vectors, only the stochastic ordering of positive linear combinations of the random variables is needed in order to obtain stochastic equality. A similar result for discrete random vectors is also given. A conjecture from the literature in this area is settled. Some applications are included.

Suggested Citation

  • Marco Scarsini & Moshe Shaked, 1990. "Some conditions for stochastic equality," Naval Research Logistics (NRL), John Wiley & Sons, vol. 37(5), pages 617-625, October.
    • Handle: RePEc:wly:navres:v:37:y:1990:i:5:p:617-625
    DOI: 10.1002/1520-6750(199010)37:53.0.CO;2-L
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    References listed on IDEAS

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    1. Marco Scarsini, 1988. "Dominance Conditions for Multivariate Utility Functions," Management Science, INFORMS, vol. 34(4), pages 454-460, April.
    2. Muliere, Pietro & Scarsini, Marco, 1989. "Multivariate decisions with unknown price vector," Economics Letters, Elsevier, vol. 29(1), pages 13-19.
    3. Marco Scarsini, 1986. "Comparison of random cash flows," Post-Print hal-00542252, HAL.
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    Cited by:

    1. Miguel Sordo & Héctor Ramos, 2007. "Characterization of stochastic orders by L-functionals," Statistical Papers, Springer, vol. 48(2), pages 249-263, April.

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