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Orderings of optimal stopping values and prophet inequalities for certain multivariate distributions

Author

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  • Rinott, Yosef
  • Samuel-Cahn, Ester

Abstract

Suppose you observe a finite sequence of random variables from some known joint distribution F, you can stop the process at any time and your profit is the last observed value. If an optimal stopping rule is used, denote the expected profit by VF. What kind of ordering on multivariate distributions F and G will guarantee VF

Suggested Citation

  • Rinott, Yosef & Samuel-Cahn, Ester, 1991. "Orderings of optimal stopping values and prophet inequalities for certain multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 104-114, April.
  • Handle: RePEc:eee:jmvana:v:37:y:1991:i:1:p:104-114
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    References listed on IDEAS

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    1. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
    2. Andrews, Donald W. K., 1988. "Chi-square diagnostic tests for econometric models : Introduction and applications," Journal of Econometrics, Elsevier, vol. 37(1), pages 135-156, January.
    3. Andrews, Donald W K, 1988. "Chi-Square Diagnostic Tests for Econometric Models: Theory," Econometrica, Econometric Society, vol. 56(6), pages 1419-1453, November.
    4. Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
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    Cited by:

    1. Finkelshtain, Israel & Kella, Offer & Scarsini, Marco, 1999. "On risk aversion with two risks," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 239-250, March.
    2. Müller, Alfred, 2001. "Bounds for optimal stopping values of dependent random variables with given marginals," Statistics & Probability Letters, Elsevier, vol. 52(1), pages 73-78, March.

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