The mixing advantage is less than 2

DOI10.1007/S10687-008-0066-2MaRDI QIDQ626271zbMATH OpenOpenAlexFDO

Authors K. Hamza, P. Jagers, Aidan Sudbury, Daniel V. Tokarev

Publication date 22 February 2011

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.0447

zbMATH Keywords

stochastic orderingdistribution of maximummixing factor

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Abstract: Corresponding to $n$ independent non-negative random variables $X_1,\mathrm{...},X_n$, are values $M_1,\mathrm{...},M_n$, where each $M_i$ is the expected value of the maximum of $n$ independent copies of $X_i$. We obtain an upper bound to the expected value of the maximum of $X_1,\mathrm{...},X_n$ in terms of $M_1,\mathrm{...},M_n$. This inequality is sharp in the sense that the quantity and its bound can be made as close to each other as we want. We also present related comparison results.

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Cites work

• A Note on Order Statistics for Heterogeneous Distributions
• Bounds on expectations of linear systematic statistics based on dependent samples
• Order Statistics
• Revisiting Sen's inequalities on order statistics
• The Maxima of the Mean Largest Value and of the Range
• Universal Bounds for Mean Range and Extreme Observation

Cited in

(2)

• The mixing advantage for bounded random variables
• On the expectations of maxima of sets of independent random variables

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