相关论文: Moment inequalities for higher-order (inverse) sto…

Stochastic dominance is a crucial tool for the analysis of choice under risk. It is typically analyzed as a property of two gambles that are taken in isolation. We study how additional independent sources of risk (e.g. uninsurable labor…

Given two random variables taking values in a bounded interval, we study whether one dominates the other in higher-order stochastic dominance depends on the reference interval in the model setting. We obtain two results. First, the…

We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the…

Higher order risk measures are stochastic optimization problems by design, and for this reason they enjoy valuable properties in optimization under uncertainties. They nicely integrate with stochastic optimization problems, as has been…

Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…

In this manuscript, we study stochastic comparisons of the second-order statistics from dependent or independent observations with modified proportional hazard rates models. First, we establish the usual stochastic order of the second-order…

Recent studies have analyzed whether one forecast method dominates another under a class of consistent scoring functions. While the existing literature focuses on empirical tests of forecast dominance, little is known about the theoretical…

Stochastic dominance serves as a general framework for modeling a broad spectrum of decision preferences under uncertainty, with risk aversion as one notable example, as it naturally captures the intrinsic structure of the underlying…

We provide conditions for the stochastic dominance comparisons of a risk $X$ and an associated risk $X+Z$, where $Z$ represents the uncertainty due to the environment and where $X$ and $Z$ can be dependent. The comparisons depend on both…

Convex combinations of i.i.d. random variables without a finite mean can behave in a strikingly different way from the finite-mean case: as the weight vector becomes more balanced, the resulting combination may become stochastically larger,…

This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the optimization problem by reducing the constraints to a finite…

The concept of "stochastic precedence" between two real-valued random variables has often emerged in different applied frameworks. In this paper we consider a slightly more general, and completely natural, concept of stochastic precedence…

We propose some new results on the comparison of the minimum or maximum order statistic from a random number of non-identical random variables. Under the non-identical set-up, with certain conditions, we prove that random minimum (maximum)…

In recent years, stochastic dominance for independent and identically distributed (iid) infinite-mean random variables has received considerable attention. The literature has identified several classes of distributions of nonnegative random…

Consider two batches of independent or interdependent exponentiated location-scale distributed heterogeneous random variables. This article investigates ordering results for the second-order statistics from these batches when a vector of…

The second-largest order statistic is of special importance in reliability theory since it represents the time to failure of a $2$-out-of-$n$ system. Consider two $2$-out-of-$n$ systems with heterogeneous random lifetimes. The lifetimes are…

The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…

This manuscript investigates the stochastic comparisons of the second-order statistics from dependent and heterogeneous general semi-parametric family of distributions observations. Some sufficient conditions on the usual stochastic order…

In this paper we provide a novel family of stochastic orders that generalizes second order stochastic dominance, which we call the $\alpha,[a,b]$-concave stochastic orders. These stochastic orders are generated by a novel set of "very"…

Spaces with locally varying scale of measurement, like multidimensional structures with differently scaled dimensions, are pretty common in statistics and machine learning. Nevertheless, it is still understood as an open question how to…