Schur properties of convolutions of gamma random variables

Farbod Roosta-Khorasani () and Gábor Székely ()

Metrika: International Journal for Theoretical and Applied Statistics, 2015, vol. 78, issue 8, 997-1014

Abstract: Sufficient conditions for comparing the convolutions of heterogeneous gamma random variables in terms of the usual stochastic order are established. Such comparisons are characterized by the Schur convexity properties of the cumulative distribution function of the convolutions. Some examples of the practical applications of our results are given. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Schur-convexity of tails; Majorization order; Linear combinations; Gamma distribution; Tail probabilities; Primary 60E15; Secondary 62E99 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00184-015-0537-9

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