Journal of Applied Probability

Some inequalities of linear combinations of independent random variables. I.

Maochao Xu and Taizhong Hu

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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.

Article information

Source
J. Appl. Probab., Volume 48, Number 4 (2011), 1179-1188.

Dates
First available in Project Euclid: 16 December 2011

Permanent link to this document
https://projecteuclid.org/euclid.jap/1324046026

Digital Object Identifier
doi:10.1239/jap/1324046026

Mathematical Reviews number (MathSciNet)
MR2896675

Zentralblatt MATH identifier
1230.60019

Subjects
Primary: 60E15: Inequalities; stochastic orderings

Keywords
Likelihood ratio order majorization peakedness order stochastic order

Citation

Xu, Maochao; Hu, Taizhong. Some inequalities of linear combinations of independent random variables. I. J. Appl. Probab. 48 (2011), no. 4, 1179--1188. doi:10.1239/jap/1324046026. https://projecteuclid.org/euclid.jap/1324046026


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