IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v83y2013i1p382-389.html
   My bibliography  Save this article

Stochastic order characterization of uniform integrability and tightness

Author

Listed:
  • Leskelä, Lasse
  • Vihola, Matti

Abstract

We show that a family of random variables is uniformly integrable if and only if it is stochastically bounded in the increasing convex order by an integrable random variable. This result is complemented by proving analogous statements for the strong stochastic order and for power-integrable dominating random variables. In particular, we show that, whenever a family of random variables is stochastically bounded by a p-integrable random variable for some p>1, there is no distinction between the strong order and the increasing convex order. These results also yield new characterizations of relative compactness in Wasserstein and Prohorov metrics.

Suggested Citation

  • Leskelä, Lasse & Vihola, Matti, 2013. "Stochastic order characterization of uniform integrability and tightness," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 382-389.
  • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:382-389
    DOI: 10.1016/j.spl.2012.09.023
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212003690
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:382-389. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.