By Felix Belzunce, Carolina Martinez Riquelme, Julio Mulero

ISBN-10: 0128037687

ISBN-13: 9780128037683

ISBN-10: 0128038268

ISBN-13: 9780128038260

An creation to Stochastic Orders discusses this strong software that may be utilized in evaluating probabilistic types in several components similar to reliability, survival research, dangers, finance, and economics. The publication presents a common heritage in this subject for college students and researchers who are looking to use it as a device for his or her learn.

In addition, clients will locate distinct proofs of the most effects and functions to a number of probabilistic versions of curiosity in different fields, and discussions of basic houses of numerous stochastic orders, within the univariate and multivariate circumstances, besides purposes to probabilistic models.

  • Introduces stochastic orders and its notation
  • Discusses diversified orders of univariate stochastic orders
  • Explains multivariate stochastic orders and their convex, chance ratio, and dispersive orders

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Additional info for An Introduction to Stochastic Orders

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15. 17. Let X ∼ G(α1 , β1 ) and Y ∼ G(α2 , β2 ) with density functions f and g, respectively. The behavior of the function β1α1 (α1 ) α2 −α1 g(x) x x x = α2 exp − , for all x > 0, f(x) β1 β2 β2 (α2 ) is equivalent to the behavior of h(x) = (α2 − α1 ) log(x) − x x + , β2 β1 for all x > 0.

Proof. 2. From the definition of the increasing convex order, it is clear that X ≤st Y ⇒ X ≤icx Y. 6) Therefore, the increasing convex order has interest not only in risk theory, but also in situations where the stochastic order does not hold. In fact, even if the survival functions cross each other just once, the increasing convex order can hold, as it occurs in the example considered in the introduction. Let us see in which situations it occurs. 5. Let X and Y be two random variables with survival functions F and G, respectively, and finite means such that E[X] ≤ E[Y].

Let X ∼ P(a1 , k1 ) and Y ∼ P(a2 , k2 ) with survival functions F and G, respectively. If we assume k2 ≥ k1 , it is easy to see that F(x) ≤ G(x), for all x ≤ k2 . Additionally, if a2 ≤ a1 , there is no crossing point among F and G, for all x ≥ k2 . To sum up, if k2 ≥ k1 and a2 ≤ a1 , then X ≤st Y. 2 shows a particular example of this situation. 2 Survival functions of X ∼ P(5, 1) (continuous line) and Y ∼ P(2, 2) (dashed line). 10 30 An Introduction to Stochastic Orders order is a partial criterion on the set of distribution functions.

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An Introduction to Stochastic Orders by Felix Belzunce, Carolina Martinez Riquelme, Julio Mulero

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