Abstract
Let $X$ and $X$ be two $n$-dimensional elliptical random vectors,
we establish an identity for $Ef(Y)-Ef(X)$, where $f: \BbbR^n
\BbbR$ fulfilling some regularity conditions. Using this identity
we provide a unified derivation of sufficient and necessary conditions for
classifying multivariate elliptical random vectors according to several main
integral stochastic orders. As a consequence we obtain new inequalities by
applying it to multivariate elliptical distributions. The results generalize
the corresponding ones for multivariate normal random vectors in the
literature.
Users
Please
log in to take part in the discussion (add own reviews or comments).