| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9486
|
| DP9486 The Supermodular Stochastic Ordering |
| Margaret Meyer
|
| 发表日期 | 2013-05-26
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic ordering' if it yields a higher expectation than the other for all supermodular objective functions. We prove that this ordering is equivalent to one distribution being derivable from another by a sequence of elementary, bivariate, interdependence-increasing transformations, and develop methods for determining whether such a sequence exists. For random vectors resulting from common and idiosyncratic shocks, we provide non-parametric sufficient conditions for supermodular dominance. Moreover, we characterize the orderings corresponding to supermodular objective functions that are also increasing or symmetric. We use the symmetric supermodular ordering to compare distributions generated by heterogeneous lotteries. Applications to welfare economics, committee decision-making, insurance, finance, and parameter estimation are discussed. |
| 主题 | Financial Economics
; Industrial Organization
; Public Economics
|
| 关键词 | Concordance
Copula
Correlation
Interdependence
Majorization
Mixture
Supermodular
Tournament
|
| URL | https://cepr.org/publications/dp9486
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538322
|
推荐引用方式
GB/T 7714 |
Margaret Meyer. DP9486 The Supermodular Stochastic Ordering. 2013.
|
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