Stochastic comparison for elliptically contoured random fields

No Thumbnail Available
Issue Date
2022-10-01
Authors
Lu, Tianshi
Du, Juan
Ma, Chunsheng
Advisor
Citation

Lu, T., Du, J., & Ma, C. (2022). Stochastic comparison for elliptically contoured random fields. Statistics & Probability Letters, 189, 109594. https://doi.org/https://doi.org/10.1016/j.spl.2022.109594

Abstract

This paper presents necessary and sufficient conditions for the peakedness comparison and convex ordering between two elliptically contoured random fields about their centers. A somewhat surprising finding is that the peakedness comparison for the infinite dimensional case differs from the finite dimensional case. For example, a Student’s t distribution is known to be more heavy-tailed than a normal distribution, but a Student’s t random field and a Gaussian random field are not comparable in terms of the peakedness. In particular, the peakedness comparison and convex ordering are made for isotropic elliptically contoured random fields on compact two-point homogeneous spaces.

Table of Content
Description
Click on the DOI to access this article (may not be free).
publication.page.dc.relation.uri