相关论文: Stochastic Orderings of Multivariate Elliptical Di…

We establish an identity for E f (Y) -E f (X), when X and Y both have matrix variateskew-normal distributions and the function f fulfills some weak conditions. Thecharacteristic function of matrix variate skew normal distribution is then…

In this work, we establish some stochastic comparison results for multivariate skew-elliptical random vectors. These multivariate stochastic comparisons involve Hessian and increasing-Hessian orderings as well as many of their special…

This paper proposes a unified class of generalized location-scale mixture of multivariate elliptical distributions and studies integral stochastic orderings of random vectors following such distributions. Given a random vector…

For a bivariate random vector (X,Y), symmetry conditions are presented that yield stochastic orderings among |X|, |Y|, |max(X,Y)|, and | min(X, Y)|. Partial extensions of these results for multivariate random vectors (X1,...,Xn) are also…

In this note we establish some appropriate conditions for stochastic equality of two random variables/vectors which are ordered with respect to convex ordering or with respect to supermodular ordering. Multivariate extensions of this result…

The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established…

We introduce a new broad and exible class of multivariate elliptically symmetric distributions in- cluding the elliptically symmetric logistic and multivariate normal. Various probabilistic properties of the new distribution are studied,…

In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that several conditions on dispersion matrices…

A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…

In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random…

This paper deals with the Elliptical Wishart and Inverse Elliptical Wishart distributions, which play a major role when handling covariance matrices. Similarly to multivariate elliptical distributions, these form a large family of…

A new family of matrix variate distributions indexed by elliptical models are proposed in this work. The so called \emph{multimatricvariate distributions} emerge as a generalization of the bimatrix variate distributions based on matrix…

Multivariate elliptically-contoured distributions are widely used for modeling correlated and non-Gaussian data. In this work, we study the kurtosis of the elliptical model, which is an important parameter in many statistical analysis.…

We establish necessary and sufficient conditions for the uniform integrability of the stochastic exponential E(M).

In this paper we propose a family of multivariate asymmetric distributions over an arbitrary subset of set of real numbers which is defined in terms of the well-known elliptically symmetric distributions. We explore essential properties,…

In the paper, multivariate probability distributions are considered that are representable as scale mixtures of multivariate elliptically contoured stable distributions. It is demonstrated that these distributions form a special subclass of…

This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often possesses high order correlations among…

A new family of distributions indexed by the class of matrix variate contoured elliptically distribution is proposed as an extension of some bimatrix variate distributions. The termed \emph{multimatrix variate distributions} open new…

We derive the form of the variance-covariance matrix for any affine equivariant matrix-valued statistics when sampling from complex elliptical distributions. We then use this result to derive the variance-covariance matrix of the sample…

The purpose of this work is to find the time dependent distributions of directions and positions of a particle that undergoes multiple elastic scattering. The angular cross section is given and the scatterers are randomly placed. The…