Stochastic order characterization of uniform integrability and tightness

DOI10.1016/J.SPL.2012.09.023zbMATH Open1261.60027arXiv1106.0607OpenAlexW1988710190WikidataQ109998348 ScholiaQ109998348MaRDI QIDQ1933757FDOQ1933757

Authors: Lasse Leskelä, Matti Vihola 

Publication date: 25 January 2013

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

Abstract: We show that a family of random variables is uniformly integrable if and only if it is stochastically bounded in the increasing convex order by an integrable random variable. This result is complemented by proving analogous statements for the strong stochastic order and for power-integrable dominating random variables. Especially, we show that whenever a family of random variables is stochastically bounded by a p-integrable random variable for some p>1, there is no distinction between the strong order and the increasing convex order. These results also yield new characterizations of relative compactness in Wasserstein and Prohorov metrics.

Full work available at URL: https://arxiv.org/abs/1106.0607

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zbMATH Keywords

stochastic dominationincreasing convex orderbounded in probabilityHardy-Littlewood maximal random variablestrong stochastic order

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Inequalities; stochastic orderings (60E15) (L^p)-limit theorems (60F25)

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• First passage percolation on sparse random graphs with boundary weights
• De la Vallée Poussin's theorem, uniform integrability, tightness and moments
• Stochastic Orders Generated by Integrals: a Unified Study
• Submodular mean field games: existence and approximation of solutions
• Integrated quantile functions: properties and applications
• Central limit theorem for the antithetic multilevel Monte Carlo method
• A note on stochastic dominance, uniform integrability and lattice properties

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