On pairs of sums of random variables with painwise equal distributions

被引:0
|
作者
Krengel, U [1 ]
机构
[1] UNIV GOTTINGEN,INST MATH STOCHAST,D-37083 GOTTINGEN,GERMANY
关键词
D O I
10.1016/0167-7152(95)00067-4
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Let X(1), X(2), Y-1, Y-2 be four real-valued random variables such that X(1), X(2) have a common distribution function F, and Y-1 and Y-2 have a common distribution function G. Furstenberg (1967) asked: If X(1) + Y-1 greater than or equal to X(2) + Y-2 (1) holds, does it follow that equality holds with probability 1? Obviously, the answer is positive if the expectations of X(1) and Y-1 exist. We show that the existence of the expectation of X(1) is sufficient. We also show by example (announced by Krengel (1970)) that the answer is negative if both X(1) and Y-1 are allowed to have infinite expectation, even if all random variables are nonnegative.
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页码:217 / 219
页数:3
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