Some new results on convolutions of heterogeneous gamma random variables

Peng Zhao

Journal of Multivariate Analysis, 2011, vol. 102, issue 5, 958-976

Abstract: Convolutions of independent random variables often arise in a natural way in many applied areas. In this paper, we study various stochastic orderings of convolutions of heterogeneous gamma random variables in terms of the majorization order [p-larger order, reciprocal majorization order] of parameter vectors and the likelihood ratio order [dispersive order, hazard rate order, star order, right spread order, mean residual life order] between convolutions of two heterogeneous gamma sets of variables wherein they have both differing scale parameters and differing shape parameters. The results established in this paper strengthen and generalize those known in the literature.

Keywords: Likelihood; ratio; order; Dispersive; order; Hazard; rate; order; Star; order; Right; spread; order; Mean; residual; life; order; Majorization; p-larger; order; Reciprocal; majorization; order; Gamma; convolution (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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