Total positivity order and the normal distribution

Yosef Rinott*, Marco Scarsini

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

16 Scopus citations

Abstract

Unlike the usual stochastic order, total positivity order is closed under conditioning. Here we provide a general formulation of the preservation properties of the order under conditioning; we study certain properties of the order including translation properties and the implications of having equality in the inequality defining the order. Specializing to the multivariate normal distribution, the study of total positivity order leads to new cones defined in terms of covariance M-matrices related to positive dependence, whose properties we study.

Original languageEnglish
Pages (from-to)1251-1261
Number of pages11
JournalJournal of Multivariate Analysis
Volume97
Issue number5
DOIs
StatePublished - May 2006

Keywords

  • Affiliation
  • FKG condition
  • Likelihood ratio order
  • M-matrices
  • MTP

Fingerprint

Dive into the research topics of 'Total positivity order and the normal distribution'. Together they form a unique fingerprint.

Cite this