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Some new results on convolutions of heterogeneous gamma random variables

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  • Zhao, Peng

Abstract

Convolutions of independent random variables often arise in a natural way in many applied areas. In this paper, we study various stochastic orderings of convolutions of heterogeneous gamma random variables in terms of the majorization order [p-larger order, reciprocal majorization order] of parameter vectors and the likelihood ratio order [dispersive order, hazard rate order, star order, right spread order, mean residual life order] between convolutions of two heterogeneous gamma sets of variables wherein they have both differing scale parameters and differing shape parameters. The results established in this paper strengthen and generalize those known in the literature.

Suggested Citation

  • Zhao, Peng, 2011. "Some new results on convolutions of heterogeneous gamma random variables," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 958-976, May.
  • Handle: RePEc:eee:jmvana:v:102:y:2011:i:5:p:958-976
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    References listed on IDEAS

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    1. Zhao, Peng & Balakrishnan, N., 2009. "Likelihood ratio ordering of convolutions of heterogeneous exponential and geometric random variables," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1717-1723, August.
    2. Sen, Ananda & Balakrishnan, N., 1999. "Convolution of geometrics and a reliability problem," Statistics & Probability Letters, Elsevier, vol. 43(4), pages 421-426, July.
    3. Kochar, Subhash & Ma, Chunsheng, 1999. "Dispersive ordering of convolutions of exponential random variables," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 321-324, July.
    4. Zhao, Peng & Balakrishnan, N., 2010. "Ordering properties of convolutions of heterogeneous Erlang and Pascal random variables," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 969-974, June.
    5. Furman, Edward, 2008. "On a multivariate gamma distribution," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2353-2360, October.
    6. Zhao, Peng & Li, Xiaohu & Balakrishnan, N., 2009. "Likelihood ratio order of the second order statistic from independent heterogeneous exponential random variables," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 952-962, May.
    7. Zhao, Peng & Hu, Taizhong, 2010. "On hazard rate ordering of the sums of heterogeneous geometric random variables," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 44-51, January.
    8. Mi, J. & Shi, W. & Zhou, Y.Y., 2008. "Some properties of convolutions of Pascal and Erlang random variables," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2378-2387, October.
    9. Korwar, Ramesh M., 2002. "On Stochastic Orders for Sums of Independent Random Variables," Journal of Multivariate Analysis, Elsevier, vol. 80(2), pages 344-357, February.
    10. Zhao, Peng & Balakrishnan, N., 2009. "Mean residual life order of convolutions of heterogeneous exponential random variables," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1792-1801, September.
    11. Kochar, Subhash & Xu, Maochao, 2010. "On the right spread order of convolutions of heterogeneous exponential random variables," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 165-176, January.
    12. Boland, Philip J. & El-Neweihi, Emad & Proschan, Frank, 1994. "Schur properties of convolutions of exponential and geometric random variables," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 157-167, January.
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    Cited by:

    1. You, Yinping & Li, Xiaohu, 2015. "Functional characterizations of bivariate weak SAI with an application," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 225-231.
    2. Farbod Roosta-Khorasani & Gábor Székely, 2015. "Schur properties of convolutions of gamma random variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(8), pages 997-1014, November.

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