On the right spread order of convolutions of heterogeneous exponential random variables

Subhash Kochar and Maochao Xu

Journal of Multivariate Analysis, 2010, vol. 101, issue 1, 165-176

Abstract: A sufficient condition for comparing convolutions of heterogeneous exponential random variables in terms of right spread order is established. As a consequence, it is shown that a convolution of heterogeneous independent exponential random variables is more skewed than that of homogeneous exponential random variables in the sense of NBUE order. This gives a new insight into the distribution theory of convolutions of independent random variables. A sufficient condition is also derived for comparing such convolutions in terms of Lorenz order.

Keywords: Convolution; Exponential; distribution; Lorenz; order; Majorization; NBUE; order; Excess; wealth; order; Skewness (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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