On the transitivity of the comonotonic and countermonotonic comparison of random variables
A recently proposed method for the pairwise comparison of arbitrary independent random variables results in a probabilistic relation. When restricted to discrete random variables uniformly distributed on finite multisets of numbers, this probabilistic relation expresses the winning probabilities between pairs of hypothetical dice that carry these numbers and exhibits a particular type of transitivity called dice-transitivity. In case these multisets have equal cardinality, two alternative methods for statistically comparing the ordered lists of the numbers on the faces of the dice have been studied recently: the comonotonic method based upon the comparison of the numbers of the same rank when the lists are in increasing order, and the countermonotonic method, also based upon the comparison of only numbers of the same rank but with the lists in opposite order. In terms of the discrete random variables associated to these lists, these methods each turn out to be related to a particular copula that joins the marginal cumulative distribution functions into a bivariate cumulative distribution function. The transitivity of the generated probabilistic relation has been completely characterized. In this paper, the list comparison methods are generalized for the purpose of comparing arbitrary random variables. The transitivity properties derived in the case of discrete uniform random variables are shown to be generic. Additionally, it is shown that for a collection of normal random variables, both comparison methods lead to a probabilistic relation that is at least moderately stochastic transitive.
Volume (Year): 98 (2007)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Garcia-Lapresta, Jose Luis & Llamazares, Bonifacio, 2001. "Majority decisions based on difference of votes," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 463-481, June.
- Bhaskar Dutta & Jean-Francois Laslier, 1999.
"Comparison functions and choice correspondences,"
Social Choice and Welfare,
Springer;The Society for Social Choice and Welfare, vol. 16(4), pages 513-532.
- B. Dutta & J-F. Laslier, 1998. "Comparison functions and choice correspondences," THEMA Working Papers 98-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- B. De Schuymer & H. De Meyer & B. De Baets & S. Jenei, 2003. "On the Cycle-Transitivity of the Dice Model," Theory and Decision, Springer, vol. 54(3), pages 261-285, May.
- JosÊ Luis GarcÎa-Lapresta & Bonifacio Llamazares, 2000. "Aggregation of fuzzy preferences: Some rules of the mean," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 17(4), pages 673-690. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:98:y:2007:i:1:p:177-193. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.