Dispersive ordering of convolutions of exponential random variables (Q1292789): Difference between revisions

Let \(X_{\lambda_1}, X_{\lambda_2}, \dots, X_{\lambda_n}\) be independent random variables where \(X_{\lambda_i}\) has exponential distribution with hazard rate \(\lambda_i\), \(i=1,2, \dots,n\). Similarly, let \(X_{\lambda_1^*}, X_{\lambda^*_2}, \dots, X_{\lambda^*_n}\) be independent random variables where \(X_{\lambda^*_i}\) has exponential distribution with hazard rate \(\lambda^*_i\), \(i=1,2, \dots,n\). It is shown that if \((\lambda_1, \lambda_2, \dots, \lambda_n)\) majorizes \((\lambda^*_1, \lambda^*_2, \dots, \lambda^*_n)\) then \(\sum^n_{i=1} X_{\lambda_i}\) is smaller than \(\sum^n_{i=1} X_{\lambda_i^*}\) in the stochastic dispersive order. The authors also obtain the dispersive order between sums of proper Erlang random variables, and products of proper Pareto random variables.