A+ CATEGORY SCIENTIFIC UNIT

Stochastic comparison of multivariate random sums

Volume 30 / 2003

Rafał Kulik Applicationes Mathematicae 30 (2003), 379-387 MSC: Primary 60E15. DOI: 10.4064/am30-4-2

Abstract

We establish preservation results for the stochastic comparison of multivariate random sums of stationary, not necessarily independent, sequences of nonnegative random variables. We consider convex-type orderings, i.e. convex, coordinatewise convex, upper orthant convex and directionally convex orderings. Our theorems generalize the well-known results for the stochastic ordering of random sums of independent random variables.

Authors

  • Rafał KulikMathematical Institute
    Wrocław University
    Pl. Grunwaldzki 2/4
    50-384 Wrocław, Poland
    e-mail

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