Stochastic comparison of multivariate random sums

Rafał Kulik. "Stochastic comparison of multivariate random sums." Applicationes Mathematicae 30.4 (2003): 379-387. <http://eudml.org/doc/279650>.

@article{RafałKulik2003,
abstract = {We establish preservation results for the stochastic comparison of multivariate random sums of stationary, not necessarily independent, sequences of nonnegative random variables. We consider convex-type orderings, i.e. convex, coordinatewise convex, upper orthant convex and directionally convex orderings. Our theorems generalize the well-known results for the stochastic ordering of random sums of independent random variables.},
author = {Rafał Kulik},
journal = {Applicationes Mathematicae},
keywords = {multivariate random sums; multivariate stochastic orders; convex-type orderings; directionally convex order; supermodular functions; stochastic comparison; stationary sequence of nonnegative (non-independent) random variables},
language = {eng},
number = {4},
pages = {379-387},
title = {Stochastic comparison of multivariate random sums},
url = {http://eudml.org/doc/279650},
volume = {30},
year = {2003},
}

TY - JOUR
AU - Rafał Kulik
TI - Stochastic comparison of multivariate random sums
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 4
SP - 379
EP - 387
AB - We establish preservation results for the stochastic comparison of multivariate random sums of stationary, not necessarily independent, sequences of nonnegative random variables. We consider convex-type orderings, i.e. convex, coordinatewise convex, upper orthant convex and directionally convex orderings. Our theorems generalize the well-known results for the stochastic ordering of random sums of independent random variables.
LA - eng
KW - multivariate random sums; multivariate stochastic orders; convex-type orderings; directionally convex order; supermodular functions; stochastic comparison; stationary sequence of nonnegative (non-independent) random variables
UR - http://eudml.org/doc/279650
ER -