Conditional precedence orders for stochastic comparison of random variables (Q2105371)
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English | Conditional precedence orders for stochastic comparison of random variables |
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Conditional precedence orders for stochastic comparison of random variables (English)
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8 December 2022
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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.
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stochastic order
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connex property
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statistical dependence
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