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Preserving multivariate dispersion: An application to the Wishart distribution

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  • Fernández-Ponce, J.M.
  • Rodríguez-Griñolo, R.

Abstract

Univariate dispersive ordering has been extensively characterized by many authors over the last two decades. However, the multivariate version lacks extensive analysis. In this paper, sufficient and necessary conditions are given to preserve the strong multivariate dispersion order through properties of the corresponding transformation. Finally, these results are applied to the Wishart distribution which can be viewed as "the spread of the dispersion".

Suggested Citation

  • Fernández-Ponce, J.M. & Rodríguez-Griñolo, R., 2006. "Preserving multivariate dispersion: An application to the Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1208-1220, May.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:5:p:1208-1220
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    References listed on IDEAS

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    1. Oja, Hannu, 1983. "Descriptive statistics for multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 1(6), pages 327-332, October.
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    7. Giovagnoli, Alessandra & Wynn, H. P., 1995. "Multivariate dispersion orderings," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 325-332, March.
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    Cited by:

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