Schur properties of convolutions of gamma random variables

被引：0

作者：

Farbod Roosta-Khorasani

Gábor J. Székely

机构：

[1] University of British Columbia,Department of Computer Science

[2] National Science Foundation,Alfréd Rényi Institute of Mathematics

[3] Hungarian Academy of Sciences,undefined

来源：

Metrika | 2015年 / 78卷

关键词：

Schur-convexity of tails; Majorization order; Linear combinations; Gamma distribution; Tail probabilities; Primary 60E15; Secondary 62E99;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Sufficient conditions for comparing the convolutions of heterogeneous gamma random variables in terms of the usual stochastic order are established. Such comparisons are characterized by the Schur convexity properties of the cumulative distribution function of the convolutions. Some examples of the practical applications of our results are given.

引用

页码：997 / 1014

页数：17

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