Barbour, A D; Lindvall, T; Rogers, L (1991). Stochastic ordering of order statistics. Journal of Applied Probability, 28(2):278-286.
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If X<sub>i</sub>, i = 1, ⋯, n are independent exponential random variables with parameters λ<sub>1</sub>, ⋯, λ<sub>n</sub>, and if Y<sub>i</sub>, i = 1, ⋯, n are independent exponential random variables with common parameter equal to (λ<sub>1</sub> + ⋯ + λ<sub>n</sub>)/n then there is a monotone coupling of the order statistics X<sub>(1)</sub>, ⋯, X<sub>(n)</sub> and Y<sub>(1)</sub>, ⋯, Y<sub>(n)</sub>; that is, it is possible to construct on a common probability space random variables X<sub>i</sub><sup>′</sup>, Y<sub>i</sub><sup>′</sup>, i = 1, ⋯, n such that for each i, Y<sub>(i)</sub><sup>′</sup> ≤ X<sub>(i)</sub><sup>′</sup> a.s., where the law of the X<sub>i</sub><sup>′</sup> (respectively, the Y<sub>i</sub><sup>′</sup>) is the same as the law of the X<sub>i</sub> (respectively, the Y<sub>i</sub>) This result is due to Proschan and Sethuraman, and independently to Ball. We shall here prove an extension to a more general class of distributions for which the failure rate function r(x) is decreasing, and xr(x) is increasing. This very strong order relation allows comparison of properties of epidemic processes where rates of infection are not uniform with the corresponding properties for the homogeneous case. We further prove that for a sequence Z<sub>i</sub>, i = 1, ⋯, n of independent random variables whose failure rates at any time add to 1, the order statistics are stochastically larger than the order statistics of a sample of n independent exponential random variables of mean n, but that the strong monotone coupling referred to above is impossible in general.
|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||07 Faculty of Science > Institute of Mathematics|
|Dewey Decimal Classification:||510 Mathematics|
|Deposited On:||13 Apr 2010 12:04|
|Last Modified:||28 Nov 2013 01:53|
|Publisher:||Applied Probability Trust|
|Free access at:||Related URL. An embargo period may apply.|
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