Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors

Chuancun Yin

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arXiv · 2304.09013

Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors

Chuancun Yin

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Abstract

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 cases. Necessary and/or sufficient conditions of the orderings are provided simply based on a comparison of the underlying model parameters.

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Chuancun Yin. 2023-04-18. Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors. https://arxiv.org/abs/2304.09013

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