Conditional precedence orders for stochastic comparison of random variables

DOI10.1016/J.SPL.2022.109702MaRDI QIDQ2105371zbMATH OpenOpenAlexFDO

Authors Sugata Ghosh, Asok K. Nanda

Publication date 8 December 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.01650

zbMATH Keywords

connex propertystatistical dependencestochastic order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random variables. Both these drawbacks can be overcome at the cost of transitivity with the stochastic precedence order, which may seem to be a good choice in particular when only two random variables are under consideration, a situation where the question of transitivity does not arise. In this paper, we show that even under such favorable conditions, stochastic precedence order may direct to misleading conclusion in certain situations and develop variations of the order to address the phenomenon.

Review text

The goal of this paper is to introduce a notion of stochastic order based on splitting the distance between \(X\) and \(Y\), into two parts: one based on \(X>Y\) and the other based on \(X<Y\), and finally comparing the two parts. A new stochastic order is proposed, which works better than the traditional stochastic orders in certain situations. The paper gives a rough prescription on how to choose among stochastic precedence order, mean order and conditional \(K \ast\) precedence order. The authors show that the order may mislead even in certain situations where transitivity is not relevant, and develop variations to address the phenomenon.

Recommendations

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Cites work

• Bivariate characterization of some stochastic order relations
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• scientific article; zbMATH DE number 3119653 (Why is no real title available?)
• scientific article; zbMATH DE number 3553458 (Why is no real title available?)
• Nonparametric Estimation of a Distribution Subject to a Stochastic Precedence Constraint
• On hazard rate ordering of dependent variables
• Some Probability Paradoxes in Choice from Among Random Alternatives
• Stochastic orders

Cited in

(9)

• Nontransitivity of tuples of random variables with polynomial density and its effects in Bayesian models
• A modified version of stochastic dominance involving dependence
• Stochastic precedence and minima among dependent variables
• Nonparametric Estimation of a Distribution Subject to a Stochastic Precedence Constraint
• The stochastic precedence ordering with applications in sampling and testing
• Partial order of concentration about a position for comparing Bayesian prior densities
• Residual stochastic precedence order
• Generalization of the pairwise stochastic precedence order to the sequence of random variables
• Relations between stochastic orderings and generalized stochastic precedence

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