Some inequalities of linear combinations of independent random variables. I.
Maochao Xu and Taizhong Hu
Source: J. Appl. Probab. Volume 48, Number 4
(2011), 1179-1188.
Abstract
In this paper we provide some sufficient conditions to stochastically compare linear combinations of independent random variables. The main results extend those given in Proschan (1965), Ma (1998), Zhao et al. (2011), and Yu (2011). In particular, we propose a new sufficient condition to compare the peakedness of linear combinations of independent random variables which may have heavy-tailed properties.
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Permanent link to this document: http://projecteuclid.org/euclid.jap/1324046026
Digital Object Identifier: doi:10.1239/jap/1324046026
Zentralblatt MATH identifier: 1230.60019
Mathematical Reviews number (MathSciNet): MR2896675
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Journal of Applied Probability
