Stochastic comparison of multivariate random sums
Tom 30 / 2003
Applicationes Mathematicae 30 (2003), 379-387
MSC: Primary 60E15.
DOI: 10.4064/am30-4-2
Streszczenie
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.
