Stochastic comparison for elliptically contoured random fields
Lu, Tianshi Du, Juan Ma, Chunsheng
Lu, Tianshi
Du, Juan
Ma, Chunsheng
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Issue Date
2022-10-01
Type
Article
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Keywords
Compact two-point homogeneous space,Convex order,Elliptically contoured random field,Gaussian random field,Peakedness
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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.
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Publisher
Elsevier
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Series
Statistics & Probability Letters
Volume 189
Volume 189
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Archival Collection
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ISSN
0167-7152