作者b218h (Gordon Mercer)
站内Statistics
标题[问题] Stochastical Dominance
时间Wed Jan 28 17:36:18 2009
Let X,Y be two random variables with the following properties:
For all c in |R,
P(X≦c) ≧ P(Y≦c)
Let m(‧) be a monotone increasing function. Show that
E[m(X)]≦E[m(Y)]
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if m is nonnegative, it's easy to prove. I wonder if this still holds for
general m....I was trying to construct a counterexample.
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