SOME INEQUALITIES OF LINEAR COMBINATIONS OF INDEPENDENT RANDOM VARIABLES. I.

作者：Xu Maochao^*; Hu Taizhong

来源：Journal of Applied Probability, 2011, 48(4): 1179-1188.

• Likelihood ratio order
• majorization
• peakedness order
• stochastic order

In this paper we provide some sufficient conditions to stochastically compare linear combinations of independent random variables. The main results extend those given in Proschan (1965), Ma (1998), Zhao et al. (2011), and Yu (2011). In particular, we propose a new sufficient condition to compare the peakedness of linear combinations of independent random variables which may have heavy-tailed properties.

• 出版日期2011-12