Ordering Awad–Varma Entropy and Applications to Some Stochastic Models

Hessian Stochastic Ordering in the Family of multivariate Generalized Hyperbolic Distributions and its Applications

In this paper, random vectors following the multivariate generalized hyperbolic (GH) distribution are compared using the hessian stochastic order. This family includes the classes of symmetric and asymmetric distributions by which different behaviors of kurtosis in skewed and heavy tail data can be captured. By considering some closed convex cones and their duals, we derive some necessary and s...

Sequential Analysis of Stochastic Volatility Models: Some Econometric Applications

Maximum Entropy Models and Stochastic Optimality Theory

In a series of recent publications (most notably Boersma (1998); see also Boersma and Hayes (2001)), Paul Boersma has developed a stochastic generalization of standard Optimality Theory in the sense of Prince and Smolensky (1993). While a classical OT grammar maps a set of candidates to its optimal element (or elements), in Boersma’s Stochastic Optimality Theory (StOT for short) a grammar defin...

Assessing Interdependence Using the Supermodular Stochastic Ordering: Theory and Applications

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the supermodular stochastic ordering if it yields a higher expectation than the other for all supermodular objective functions. We pro...

A New Ordering for Stochastic Majorization: Theory and Applications

In this paper, we develop a uniied approach for stochastic load balancing on various multiserver systems. We expand the four partial orderings deened in Marshall and Olkin, by deening a new ordering based on the set of functions that are symmetric, L-subadditive and convex in each variable. This new partial ordering is shown to be equivalent to the previous four orderings for comparing determin...