Characterizations of stochastic ordering for non-negative random variables

DOI10.1016/J.SPL.2023.109919MaRDI QIDQ6084754zbMATH OpenOpenAlexFDO

Authors Jia Yao, Bendong Lou, Xiaoqing Pan

Publication date 6 November 2023

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

Full work available at URL https://doi.org/10.1016/j.spl.2023.109919

zbMATH Keywords

hazard rate orderlikelihood ratio orderreversed hazard rate orderusual stochastic order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30) Reliability and life testing (62N05)

Review text

The authors establish the following characterization of the usual stochastic order between random variables \(X\) and \(Y\) supported on \([0,\infty)\) with density functions \(f\) and \(g\), respectively: Suppose \(l(x)=\log(f(x)/g(x))\) is a continuous function with at most two roots, such that \(l(x)<0\) for all \(x\) greater than the largest such root. Then \(X\) is stochastically smaller than \(Y\) if and only if \(l(0)\geq0\). Analogous characterizations are also established for the likelihood ratio order, the hazard rate order, and the reversed hazard rate order. The conditions in these characterizations are weaker than the concavity of \(l(x)\) required in the previous work of \textit{Y. Yu} [J. Appl. Probab. 46, 244--254 (2009; Zbl 1161.60308)].

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• Uniform stochastic orderings and total positivity
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