Stochastic comparisons of weighted sums of arrangement increasing random variables

Xiaoqing Pan, Min Yuan and Subhash C. Kochar

Statistics & Probability Letters, 2015, vol. 102, issue C, 42-50

Abstract: Assuming that the joint density of random variables X1,X2,…,Xn is arrangement increasing (AI), we obtain some stochastic comparison results on weighted sums of Xi’s under some additional conditions. An application to optimal capital allocation is also given.

Keywords: Increasing convex order; Usual stochastic order; Majorization; Supermodular (Submodular); Arrangement increasing; Joint likelihood ratio ordering (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2015.03.012

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