Article
Stochastic Comparisons of Weighted Sums of Arrangement Increasing Random Variables
Mathematics and Statistics Faculty Publications and Presentations
Sponsor
NNSF of China (No. 11401558), the Fundamental Research Funds for the Central Universities (No. WK2040160010), China Postdoctoral Science Foundation (No. 2014M561823) and NNSF of China (Nos. 11201452 and 11271346).
Document Type
Post-Print
Publication Date
4-7-2015
Subjects
- Random variables -- Mathematical models,
- Stochastic analysis,
- Mathematical statistics,
- Stochastic convergence,
- Stochastic sequences
Disciplines
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.
DOI
10.1016/j.spl.2015.03.012
Persistent Identifier
http://archives.pdx.edu/ds/psu/14700
Citation Information
Pan, X., Yuan, M., Kochar, S.C., Stochastic comparisons of weighted
sums of arrangement increasing random variables. Statistics and Probability Letters (2015),
http://dx.doi.org/10.1016/j.spl.2015.03.012
This is the author’s version that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version can be found on the publisher website.