Stochastic order characterization of uniform integrability and tightness

DOI10.1016/J.SPL.2012.09.023MaRDI QIDQ1933757zbMATH OpenOpenAlexWikidataFDO

Authors Lasse Leskelä, Matti Vihola

Publication date 25 January 2013

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

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

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)

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.

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