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Stochastic comparisons of multivariate mixtures

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  • Khaledi, Baha-Eldin
  • Shaked, Moshe

Abstract

In this paper we establish multivariate hazard rate, multivariate reverse hazard rate, and multivariate likelihood ratio stochastic orderings among multivariate random mapping (mixture) distributions. The new results streamline and simplify the proofs of some partial results that have recently appeared in the literature. Some applications in reliability theory and risk management are described.

Suggested Citation

  • Khaledi, Baha-Eldin & Shaked, Moshe, 2010. "Stochastic comparisons of multivariate mixtures," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2486-2498, November.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2486-2498
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    References listed on IDEAS

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    1. Belzunce, Félix & Mercader, José-Angel & Ruiz, José-María & Spizzichino, Fabio, 2009. "Stochastic comparisons of multivariate mixture models," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1657-1669, September.
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    6. Hürlimann, Werner, 1998. "On Stop-Loss Order and the Distortion Pricing Principle," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 119-134, May.
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    8. Hu, Taizhong & Khaledi, Baha-Eldin & Shaked, Moshe, 2003. "Multivariate hazard rate orders," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 173-189, January.
    9. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
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    Cited by:

    1. Zarezadeh, S. & Asadi, M. & Balakrishnan, N., 2014. "Dynamic network reliability modeling under nonhomogeneous Poisson processes," European Journal of Operational Research, Elsevier, vol. 232(3), pages 561-571.
    2. Balakrishnan, Narayanaswamy & Barmalzan, Ghobad & Haidari, Abedin, 2016. "Multivariate stochastic comparisons of multivariate mixture models and their applications," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 37-43.
    3. Ebrahim Amini-Seresht & Baha-Eldin Khaledi, 2015. "Multivariate stochastic comparisons of mixture models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(8), pages 1015-1034, November.
    4. Nil Kamal Hazra & Maxim Finkelstein & Ji Hwan Cha, 2018. "Stochastic ordering for populations of manufactured items," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 173-196, March.
    5. Jorge Navarro & Yolanda Águila & Miguel A. Sordo & Alfonso Suárez-Llorens, 2016. "Preservation of Stochastic Orders under the Formation of Generalized Distorted Distributions. Applications to Coherent Systems," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 529-545, June.
    6. Badía, Francisco German & Sangüesa, Carmen & Cha, Ji Hwan, 2018. "Stochastic comparisons and multivariate dependence for the epoch times of trend renewal processes," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 174-184.
    7. Badía, F.G. & Sangüesa, C. & Cha, J.H., 2014. "Stochastic comparison of multivariate conditionally dependent mixtures," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 82-94.
    8. Dewan, Isha & Khaledi, Baha-Eldin, 2014. "On stochastic comparisons of residual life time at random time," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 73-79.
    9. Arijit Patra & Chanchal Kundu, 2021. "Stochastic comparisons and ageing properties of residual lifetime mixture models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 123-143, August.
    10. Fatemeh Hooti & Jafar Ahmadi & N. Balakrishnan, 2022. "Stochastic Comparisons of General Proportional Mean Past Lifetime Frailty Model," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 844-866, August.

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