Likelihood ratio ordering of order statistics, mixtures and systems (Q2475761)

Let \(X=(X_1,X_2,\dots,X_n)\) be an exchangeable random vector, and denote \(X_{1:i}=\min\{X_1,X_2,\dots,X_i\}\) and \(X_{i:i}=\max\{X_1,X_2,\dots,X_i\}\), \(1\leq i \leq n\). These order statistics represent the lifetimes of the series and the parallel systems, respectively, with component lifetimes \(X_i\). Conditions under which \(X_{1:i}\) (or \(X_{i:i}\)) decreases (increases) in \(i\) in the likelihood ratio (lr) order are obtained. An even more general result involving general (that is, not necessary exchangeable) random vectors is also derived for general series (or parallel) systems. It is also shown that the series (parallel) systems are not necessarily lr-ordered even if the components are independent. Properties of Glaser's function of mixtures are studied as well as ordering properties, monotonicity and the limiting behaviour are investigated. It is shown that, under some conditions, the limiting behaviour is similar to that of the strongest member (in the lr order) of the mixture. The case of finite negative mixtures (i.e. mixtures which have some negative coefficients) which is applied to study Glaser's function of general coherent systems and order statistics is considered and, in particular, the likelihood ratio ordering of coherent systems. The results are illustrated through a series of examples.