Publication: Preserving multivariate dispersion: An application to the Wishart distribution
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Fernández-Ponce, J.M.
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Elsevier
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Abstract
Univariate dispersive ordering has been extensively characterized by many authors over the last two decades. However, the multivariate version lacks extensive analysis. In this paper, sufficient and necessary conditions are given to preserve the strong multivariate dispersion order through properties of the corresponding transformation. Finally, these results are applied to the Wishart distribution which can be viewed as "the spread of the dispersion". © 2005 Elsevier Inc. All rights reserved.
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Journal of Multivariate Analysis, Vol 97, nº 5, p.1208 - 1220