Majorization, Randomness and Dependence for Multivariate Distributions
Majorization, Randomness and Dependence for Multivariate Distributions
The preorder relation of Hardy, Littlewood and Polya (1929), Day (1973) and Chong (1974, 1976) is applied to multivariate probability densities. This preorder, which is called majorization here, can be interpreted as an ordering of randomness. When used to compare multivariate densities with the same marginal densities, it can be …