DEPENDENCE, DISPERSIVENESS, AND MULTIVARIATE HAZARD RATE ORDERING-Reference-Cited by-同舟云学术

DEPENDENCE, DISPERSIVENESS, AND MULTIVARIATE HAZARD RATE ORDERING

Published:2005-08-31 Issue:4 Volume:19 Page:427-446
ISSN:0269-9648
Container-title:Probability in the Engineering and Informational Sciences
language:en
Short-container-title:Prob. Eng. Inf. Sci.

Author:

Khaledi Baha-Eldin,Kochar Subhash

Abstract

To compare two multivariate random vectors of the same dimension, we define a new stochastic order called upper orthant dispersive ordering and study its properties. We study its relationship with positive dependence and multivariate hazard rate ordering as defined by Hu, Khaledi, and Shaked (Journal of Multivariate Analysis, 2002). It is shown that if two random vectors have a common copula and if their marginal distributions are ordered according to dispersive ordering in the same direction, then the two random vectors are ordered according to this new upper orthant dispersive ordering. Also, it is shown that the marginal distributions of two upper orthant dispersive ordered random vectors are also dispersive ordered. Examples and applications are given.

Publisher

Cambridge University Press (CUP)

Subject

Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability

Reference23 articles.

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