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Schur properties of convolutions of gamma random variables.

Authors :
Roosta-Khorasani, Farbod
Székely, Gábor
Source :
Metrika; Nov2015, Vol. 78 Issue 8, p997-1014, 18p
Publication Year :
2015

Abstract

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. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
RANDOM variables
STOCHASTIC analysis
CONVEX domains
LINEAR algebra
SCHUR complement
MATHEMATICAL variables

Details

Language :
English
ISSN :
00261335
Volume :
78
Issue :
8
Database :
Complementary Index
Journal :
Metrika
Publication Type :
Academic Journal
Accession number :
110280324
Full Text :
https://doi.org/10.1007/s00184-015-0537-9
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