Inequalities for multivariate infinitely divisible processes

DOI10.1214/AOP/1176991777MaRDI QIDQ1103943zbMATH OpenOpenAlexFDO

Authors Lawrence Brown, Yosef Rinott

Publication date 1988

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176991777

zbMATH Keywords

Compound Poisson familiesinfinitely divisible distributionsLinnik power zonesLyapunov fractionsone-parameter semigroupstochastic orderings

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Stochastic processes (60G99) Queueing theory (aspects of probability theory) (60K25) Statistical distribution theory (62E99) Order statistics; empirical distribution functions (62G30)

Review text

Let \(\{Q(t):t\geq 0\}\) be a one-parameter semigroup of infinitely divisible distributions on the real line. Let \(Z_ A\), \(A\subseteq \{1,...,n\}\), be a family of independent random variables with distribution \(Q_{t(A)}\), where \(t(A)\geq 0\), and define the i th component of a random vector X by \(X_ i=\sum_{i\in A}Z_ A\). Then X is said to have a multivariate infinitely divisible (m.i.d.) distribution with parameter \(t=\{t(A):\emptyset \neq A\subseteq \{1,...,n\}\}\). Now let X,Y have m.i.d. distributions with parameters \(t,t^*.\) The main results of the paper give conditions on \(t,t^*\) for stochastic orderings of the type \[ P(X\geq c)\leq P(Y\geq c)\text{ for all } c\in {\mathbb{R}}^ n. \] Compound Poisson families play a key role. Some applications are given, including inequalities fore Linnik power zones in the scheme of summation of non-identically distributed r.v. Large deviations in terms of Lyapunov fractions are also investigated. It appeared that the probabilities of large deviations take into account mainly not individual properties of summands but the average ones. This was shown first by \textit{W. Wolf} [Math. Nachr. 70, 197-215 (1975; Zbl 0324.60028)] under more strict conditions.

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Cited in

(5)

• Inequalities for multivariate compound Poisson distributions
• ISO^* property of two-parameter compound Poisson distributions with applications
• scientific article; zbMATH DE number 3917075 (Why is no real title available?)
• Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
• A conversation with Larry Brown

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