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Multivariate winning probabilities
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DOI：10.1016/j.fss.2018.09.012.png)
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Abstract
En 中文
Stochastic dominance and statistical preference are two important tools for the pairwise comparison of random variables. However, pairwise methods are not always appropriate in the case of more than two alternatives. In this work, we generalize the notion of winning probability to the notion of multivariate winning probability. The latter allows to establish a ranking (with ties) on any set of random variables and naturally leads to the notion of probabilistic preference. We investigate the relationship between the latter notion and the classical notions of stochastic dominance and statistical preference. (C) 2018 Elsevier B.V. All rights reserved.
Keywords:
Winning probabilities
Stochastic dominance
Probabilistic relation
Statistical preference
Decision making
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