Multivariate Stochastic Dominance via Optimal Transport and Applications to Models Benchmarking
基于最优传输的多元随机占优及模型基准比较
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little has been done in the multivariate scenario, wherein an agent has to decide between different multivariate outcomes. By exploiting a characterization of multivariate first stochastic dominance in terms of couplings, we introduce a…