On the stochastic ordering of absolute univariate Gaussian random variables

DOI10.1214/AOS/1176350964MaRDI QIDQ1105937zbMATH OpenOpenAlexFDO

Authors Paul Horn

Publication date 1988

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

Full work available at URL https://doi.org/10.1214/aos/1176350964

zbMATH Keywords

folded normalmajorizationnecessary and sufficient conditionsnoncentral chi-squarestochastic ordering of absolute univariate Gaussian random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistical distribution theory (62E99)

Review text

This paper presents necessary and sufficient conditions for the stochastic ordering of absolute univariate Gaussian random variables. This result is based on the behavior of the particular Gaussian density at zero, which is equivalent to restrictions on the mean and variance.

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Cited in

(6)

• On the non-stochastic ordering of some quadratic forms
• A general family of univariate stochastic orders
• New properties and characterizations of the dispersive ordering
• Stochastic ordering of folded normal random variables
• Stochastic orderings for folded normal random variables
• Stochastic ordering of medians in exchangeable trivariate normal vectors

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