TY - JOUR
T1 - First-order dominance
T2 - stronger characterization and a bivariate checking algorithm
AU - Range, Troels Martin
AU - Østerdal, Lars Peter Raahave
PY - 2019/1
Y1 - 2019/1
N2 - 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.
AB - 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.
KW - Characterization
KW - Checking algorithm
KW - Multivariate first-order dominance
KW - Network problem
KW - Usual stochastic order
U2 - 10.1007/s10107-017-1213-9
DO - 10.1007/s10107-017-1213-9
M3 - Journal article
VL - 173
SP - 193
EP - 219
JO - Mathematical Programming
JF - Mathematical Programming
SN - 0025-5610
IS - 1-2
ER -