Some stochastic inequalities for weighted sums

Abstract

We compare weighted sums of i.i.d. positive random variables according to the usual stochastic order. The main inequalities are derived using majorization techniques under certain log-concavity assumptions. Specifically, let $Y_i$ be i.i.d. random variables on R₊. Assuming that $\log Y_i$ has a log-concave density, we show that $∑ a_iY_i$ is stochastically smaller than ∑ b_iY_i, if ($\log a_1$, …, $\log a_n$) is majorized by ($\log b_1$, …, $\log b_n$). On the other hand, assuming that $Y_i^p$ has a log-concave density for some $p > 1$, we show that $∑a_iY_i$ is stochastically larger than $∑ b_iY_i$, if ($a_1^q$, …, $a_n^q$) is majorized by ($b_1^q$, …, $b_n^q$), where $p^{−1} + q^−1 = 1$. These unify several stochastic ordering results for specific distributions. In particular, a conjecture of Hitczenko [Sankhyā A 60 (1998) 171–175] on Weibull variables is proved. Potential applications in reliability and wireless communications are mentioned.