ISO* Property of Two-Parameter Compound Poisson Distributions with Applications

Chunsheng Ma

Journal of Multivariate Analysis, 2000, vol. 75, issue 2, 279-294

Abstract: The ISO* property of noncentrality parameters is derived for the expected value of an ISO* function of independent nonnegative two-parameter compound Poisson random variables and is then applied to unbiasedness of tests and monotonicity of power functions of tests in an order-restricted hypothesis testing problem for the noncentrality parameter. The ISO* property and the Schur convexity are also studied for a class of two-parameter distributions which has the additive property (i.e., is closed under convolution) and contains the one-parameter family with the semigroup property as a special case.

Keywords: compound Poisson distribution; ISO*; noncentral chi-square distribution; noncentrality parameter; order-restricted hypothesis testing problem; Schur convex; stochastic ordering; two-parameter family (search for similar items in EconPapers)
Date: 2000
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