Stochastic Comparisons

2021 ◽  
pp. 71-116
Author(s):  
Jorge Navarro
Keyword(s):  
Stochastic Comparisons

scholarly journals Stochastic Comparisons of Some Distances between Random Variables

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 981
Author(s):  
Patricia Ortega-Jiménez ◽  
Miguel A. Sordo ◽  
Alfonso Suárez-Llorens
Keyword(s):  
Financial Risk ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Stochastic Ordering ◽  
Random Variable ◽  
Distribution Functions ◽  
Stochastic Comparisons ◽  
Stochastic Orderings ◽  
Absolute Value ◽  
The Difference

The aim of this paper is twofold. First, we show that the expectation of the absolute value of the difference between two copies, not necessarily independent, of a random variable is a measure of its variability in the sense of Bickel and Lehmann (1979). Moreover, if the two copies are negatively dependent through stochastic ordering, this measure is subadditive. The second purpose of this paper is to provide sufficient conditions for comparing several distances between pairs of random variables (with possibly different distribution functions) in terms of various stochastic orderings. Applications in actuarial and financial risk management are given.

scholarly journals On stochastic comparisons of maximum order statistics from the location-scale family of distributions

2017 ◽  
Vol 160 ◽  
pp. 31-41 ◽  
Author(s):  
Nil Kamal Hazra ◽  
Mithu Rani Kuiti ◽  
Maxim Finkelstein ◽  
Asok K. Nanda
Keyword(s):  
Order Statistics ◽  
Stochastic Comparisons ◽  
Maximum Order ◽  
Scale Family ◽  
Family Of Distributions

On stochastic comparisons of finite α-mixture models

2021 ◽  
pp. 109083
Author(s):  
Ghobad Barmalzan ◽  
Sajad Kosari ◽  
Yiying Zhang
Keyword(s):  
Mixture Models ◽  
Stochastic Comparisons

Stochastic comparisons of order statistics under multivariate imperfect repair

1996 ◽  
Vol 33 (1) ◽  
pp. 156-163 ◽  
Author(s):  
Taizhong Hu
Keyword(s):  
Order Statistics ◽  
Probability Space ◽  
Random Variables ◽  
Stochastic Comparisons ◽  
Special Model ◽  
Imperfect Repair ◽  
Monotone Coupling ◽  
Common Probability

A monotone coupling of order statistics from two sets of independent non-negative random variables Xi, i = 1, ···, n, and Yi, i = 1, ···, n, means that there exist random variables X′i, Y′i, i = 1, ···, n, on a common probability space such that , and a.s. j = 1, ···, n, where X(1) ≦ X(2) ≦ ·· ·≦ X(n) are the order statistics of Xi, i = 1, ···, n (with the corresponding notations for the X′, Y, Y′ sample). In this paper, we study the monotone coupling of order statistics of lifetimes in two multi-unit systems under multivariate imperfect repair. Similar results for a special model due to Ross are also given.

Univariate and multivariate stochastic comparisons and ageing properties of the generalized Pólya process

2018 ◽  
Vol 55 (1) ◽  
pp. 233-253 ◽  
Author(s):  
F. G. Badía ◽  
C. Sangüesa ◽  
Ji Hwan Cha
Keyword(s):  
Intensity Function ◽  
Stochastic Comparisons ◽  
Polya Process ◽  
Pólya Process ◽  
Intensity Functions ◽  
Birth Processes

Abstract In this work we consider the generalized Pólya process with baseline intensity function r and parameters α and β recently studied by Cha (2014). The aim of this work is to provide both univariate and multivariate stochastic comparisons between two generalized Pólya processes with different baseline intensity functions and the same parameters α and β for the epoch and inter-epoch times of the two processes. The comparisons are analogous to stochastic comparisons in Belzunce et al. (2001) for two nonhomogeneous Poisson or pure-birth processes with different intensity functions. Moreover, we study both univariate and multivariate ageing properties of the epoch and inter-epoch times of the generalized Pólya process.

Stochastic comparisons of series and parallel systems with independent heterogeneous Gumbel and truncated Gumbel components

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Fatih Kızılaslan
Keyword(s):  
Likelihood Ratio ◽  
Hazard Rate ◽  
Design Methodology ◽  
Parallel Systems ◽  
Parallel System ◽  
Series System ◽  
Stochastic Comparisons ◽  
Content Type ◽  
Reversed Hazard Rate ◽  
The Relationship

PurposeThe purpose of this paper is to investigate the stochastic comparisons of the parallel system with independent heterogeneous Gumbel components and series and parallel systems with independent heterogeneous truncated Gumbel components in terms of various stochastic orderings.Design/methodology/approachThe obtained results in this paper are obtained by using the vector majorization methods and results. First, the components of series and parallel systems are heterogeneous and having Gumbel or truncated Gumbel distributions. Second, multiple-outlier truncated Gumbel models are discussed for these systems. Then, the relationship between the systems having Gumbel components and Weibull components are considered. Finally, Monte Carlo simulations are performed to illustrate some obtained results.FindingsThe reversed hazard rate and likelihood ratio orderings are obtained for the parallel system of Gumbel components. Using these results, similar new results are derived for the series system of Weibull components. Stochastic comparisons for the series and parallel systems having truncated Gumbel components are established in terms of hazard rate, likelihood ratio and reversed hazard rate orderings. Some new results are also derived for the series and parallel systems of upper-truncated Weibull components.Originality/valueTo the best of our knowledge thus far, stochastic comparisons of series and parallel systems with Gumbel or truncated Gumble components have not been considered in the literature. Moreover, new results for Weibull and upper-truncated Weibull components are presented based on Gumbel case results.

Optimal allocation of relevations in coherent systems

2021 ◽  
Vol 58 (4) ◽  
pp. 1152-1169
Author(s):  
Rongfang Yan ◽  
Jiandong Zhang ◽  
Yiying Zhang
Keyword(s):  
Optimal Allocation ◽  
Necessary Conditions ◽  
Stochastic Order ◽  
Coherent Systems ◽  
Stochastic Comparisons ◽  
Hazard Rate Order ◽  
Usual Stochastic Order ◽  
Special Cases ◽  
Sufficient And Necessary Conditions ◽  
Allocation Strategies

AbstractIn this paper we study the allocation problem of relevations in coherent systems. The optimal allocation strategies are obtained by implementing stochastic comparisons of different policies according to the usual stochastic order and the hazard rate order. As special cases of relevations, the load-sharing and minimal repair policies are further investigated. Sufficient (and necessary) conditions are established for various stochastic orderings. Numerical examples are also presented as illustrations.

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