Results 1 to 1 of 1

Math Help - stochastic dominance

  1. #1
    Newbie
    Joined
    Sep 2011
    Posts
    21

    stochastic dominance

    The random variable X is stochastically dominated by Y. Therefore, for k = 1,2,...
    E[X^k] < E[Y^k]
    Show
     \left|\frac{E[X^{k+1}]/E[X^k] }{ E[Y^{k+1}]/E[Y^k] } \right| < 1
    If needed, one can impose positivity of Y, continuity of X and Y, and/or finiteness of moments of X and Y.

    Thanks in advance
    Last edited by sander; July 3rd 2012 at 05:43 AM.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. stochastic dominance
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: July 3rd 2012, 05:36 AM
  2. Replies: 0
    Last Post: March 27th 2012, 08:03 AM
  3. Stochastic processes #2
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: April 3rd 2010, 12:23 AM
  4. stochastic dominance of summations
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: August 15th 2009, 12:27 AM
  5. stochastic process ???
    Posted in the Statistics Forum
    Replies: 1
    Last Post: March 11th 2008, 04:23 AM

Search Tags


/mathhelpforum @mathhelpforum