RELATIONS BETWEEN STOCHASTIC ORDERINGS AND GENERALIZED STOCHASTIC PRECEDENCE

DOI10.1017/S0269964815000029zbMATH Open1370.60029arXiv1307.7546MaRDI QIDQ5358043FDOQ5358043

F. Spizzichino, Emilio De Santis, Fabio Fantozzi

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Abstract: The concept of "stochastic precedence" between two real-valued random variables has often emerged in different applied frameworks. In this paper we consider a slightly more general, and completely natural, concept of stochastic precedence and analyze its relations with the notions of stochastic ordering. Such a study leads us to introducing some special classes of bivariate copulas. Motivations for our study can arise from different fields. In particular we consider the frame of Target-Based Approach in decisions under risk. This approach has been mainly developed under the assumption of stochastic independence between "Prospects" and "Targets". Our analysis concerns the case of stochastic dependence.

Full work available at URL: https://arxiv.org/abs/1307.7546

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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Cited In (14)

• GENERALIZATION OF THE PAIRWISE STOCHASTIC PRECEDENCE ORDER TO THE SEQUENCE OF RANDOM VARIABLES
• Ranking graphs through hitting times of Markov chains
• Conditional precedence orders for stochastic comparison of random variables
• On the reliability modeling of weighted \(k\)-out-of-\(n\) systems with randomly chosen components
• Note on lexicographic-order preservation and stochastic dominance
• On optimal operational sequence of components in a warm standby system
• On Comparison of Distorted Histograms
• The stochastic precedence ordering with applications in sampling and testing
• Joint weak hazard rate order under non-symmetric copulas
• On the probabilistic meaning of copula-based extensions of fuzzy measures. Applications to target-based utilities and multi-state reliability systems
• Stochastic precedence and minima among dependent variables
• A new measure of mortality differentials based on precedence probability
• Construction of aggregation paradoxes through load-sharing models
• Cutting levels of the winning probability relation of random variables pairwisely coupled by a same Frank copula

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