On stochastic orders and total positivity

DOI10.1051/PS/2023005zbMATH Open1521.60009OpenAlexW4322727116MaRDI QIDQ6133918FDOQ6133918

Authors Lutz Dümbgen, Alexandre Mösching 

Publication date 21 August 2023

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.07868

zbMATH Keywords

conditional distributionweak convergencelikelihood ratio orderstochastic orderorder constraint

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10)

Abstract: The usual stochastic order and the likelihood ratio order between probability distributions on the real line are reviewed in full generality. In addition, for the distribution of a random pair $(X,Y)$, it is shown that the conditional distributions of $Y$, given $X=x$, are increasing in $x$ with respect to the likelihood ratio order if and only if the joint distribution of $(X,Y)$ is totally positive of order two (TP2) in a certain sense. It is also shown that these three types of constraints are stable under weak convergence, and that weak convergence of TP2 distributions implies convergence of the conditional distributions just mentioned.

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