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RESIDUAL STOCHASTIC PRECEDENCE ORDER
Probability in the Engineering and Informational Sciences, 2020The aim of this paper is to introduce a new stochastic order based on the residual lifetimes of two nonnegative dependent random variables and the stochastic precedence order. We develop some characterizations and preservation properties of this stochastic order.
Amit Kumar Misra +2 more
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Stochastic ordering of order statistics
Journal of Applied Probability, 1991If Xi, i = 1, ···, n are independent exponential random variables with parameters λ1, · ··, λ n, and if Yi, i = 1, ···, n are independent exponential random variables with common parameter equal to (λ1 + · ·· + λ n)/n, then there is a monotone coupling of the order statistics X(1), · ··, X(n) and Y(1), · ··, Y(n); that is, it is possible to construct ...
Barbour, A D, Lindvall, T, Rogers, L
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GENERALIZED STOCHASTIC CONVEXITY AND STOCHASTIC ORDERINGS OF MIXTURES
Probability in the Engineering and Informational Sciences, 1999In this paper, a new concept called generalized stochastic convexity is introduced as an extension of the classic notion of stochastic convexity. It relies on the well-known concept of generalized convex functions and corresponds to a stochastic convexity with respect to some Tchebycheff system of functions.
Denuit, Michel +2 more
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Global Dependence Stochastic Orders
Methodology and Computing in Applied Probability, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shaked, Moshe +2 more
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Sequential Order Statistics: Ageing and Stochastic Orderings
Methodology and Computing in Applied Probability, 2011The authors identify conditions, on the distribution functions that underlie sequential order statistics, which yield various stochastic comparisons of the corresponding sequential order statistics. They also derive sufficient conditions under which sequential order statistics have various aging properties such as increasing failure rates, increasing ...
Torrado, Nuria +2 more
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A comparison of stochastically ordered queues
International Journal of Systems Science, 1997In this paper, the principle of stochastic ordering is applied to compare performance measures such as waiting times of two queueing systems. The technique of Monte Carlo simulation is employed to study the behaviour of such systems. It is shown that, in practice, to compare two stochastically ordered queues, we require a large number of customers to ...
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On stochastic inequalities and dependence orderings
Applied Mathematics and Computation, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A Stochastic Model for Order Book Dynamics
SSRN Electronic Journal, 2008We propose a continuous-time stochastic model for the dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics, and its analytical tractability allows for fast computation of various quantities of interest without ...
Rama Cont, Sasha Stoikov, Rishi Talreja
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Stochastic Ordering of Order Statistics II
2002In this paper we survey some recent developments involving comparisons of order statistics and spacings in various stochastic senses.
Philip J. Boland +3 more
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A note on stochastic ordering of order statistics
Journal of Applied Probability, 1997A necessary and sufficient condition is obtained for a Poisson binomial random variable to be stochastically larger (or smaller) than a binomial random variable. It is then used to deal with the stochastic comparisons of order statistics from heterogeneous populations with those from a homogeneous population.
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