Uniform conditional stochastic order

Abstract

One probability measure is less than or equal to another in the sense of UCSO (uniform conditional stochastic order) if a standard form of stochastic order holds for each pair of conditional probability measures obtained by conditioning on appropriate subsets. UCSO can be applied to the comparison of lifetime distributions or the comparison of decisions under uncertainty when there may be reductions in the set of possible outcomes. When densities or probability mass functions exist on the real line, then the main version of UCSO is shown to be equivalent to the MLR (monotone likelihood ratio) property. UCSO is shown to be preserved by some standard probability operations and not by others.