Geodesic
Stochastic comparison of multivariate random sums
Rafał Kulik1
1 Mathematical Institute Wrocław University Pl. Grunwaldzki 2/4 50-384 Wrocław, Poland
Applicationes Mathematicae, Tome 30 (2003) no. 4, pp. 379-387

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am30-4-2
Keywords: establish preservation results stochastic comparison multivariate random sums stationary necessarily independent sequences nonnegative random variables consider convex type orderings convex coordinatewise convex upper orthant convex directionally convex orderings theorems generalize well known results stochastic ordering random sums independent random variables

Rafał Kulik 1

1 Mathematical Institute Wrocław University Pl. Grunwaldzki 2/4 50-384 Wrocław, Poland 
@article{10_4064_am30_4_2,
     author = {Rafa{\l} Kulik},
     title = {Stochastic comparison of multivariate
 random sums},
     journal = {Applicationes Mathematicae},
     pages = {379--387},
     publisher = {mathdoc},
     volume = {30},
     number = {4},
     year = {2003},
     doi = {10.4064/am30-4-2},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am30-4-2/}
}
TY  - JOUR
AU  - Rafał Kulik
TI  - Stochastic comparison of multivariate
 random sums
JO  - Applicationes Mathematicae
PY  - 2003
SP  - 379
EP  - 387
VL  - 30
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am30-4-2/
DO  - 10.4064/am30-4-2
LA  - en
ID  - 10_4064_am30_4_2
ER  - 
%0 Journal Article
%A Rafał Kulik
%T Stochastic comparison of multivariate
 random sums
%J Applicationes Mathematicae
%D 2003
%P 379-387
%V 30
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/am30-4-2/
%R 10.4064/am30-4-2
%G en
%F 10_4064_am30_4_2
Rafał Kulik. Stochastic comparison of multivariate
 random sums. Applicationes Mathematicae, Tome 30 (2003) no. 4, pp. 379-387. doi: 10.4064/am30-4-2

Cité par Sources :