Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance.
Stochastic comparison of multivariate random sums
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.
Page 1