Inequalities for the probability content of a rotated ellipse and related stochastic domination results
Mathew, Thomas ; Nordström, Kenneth
Ann. Appl. Probab., Tome 7 (1997) no. 1, p. 1106-1117 / Harvested from Project Euclid
Let $X_i$ and $Y_i$ follow noncentral chi-square distributions with the same degrees of freedom $\nu_i$ and noncentrality parameters $\delta_i^2$ and $\mu_i^2$, respectively, for $i = 1, \dots, n$, and let the $X_i$'s be independent and the $Y_i$'s independent. A necessary and sufficient condition is obtained under which $\Sigma_{i = 1}^n \lambda_i X_i$ is stochastically smaller than $\Sigma_{i = 1}^n \lambda_i Y_i$ for all nonnegative real numbers $\lambda_i \geq \dots \geq \lambda_n$. Reformulating this as a result in geometric probability, solutions are obtained, in particular, to the problems of monotonicity and location of extrema of the probability content of a rotated ellipse under the standard bivariate Gaussian distribution. This complements results obtained by Hall, Kanter and Perlman who considered the behavior of the probability content of a square under rotation. More generally, it is shown that the vector of partial sums $(X_1, X_1 + X_2, \dots, X_1 + \dots + X_n)$ is stochastically smaller than $(Y_1, Y_1 + Y_2, \dots, Y_1 + \dots + Y_n)$ if and only if $\Sigma_{i=1}^n \lambda_i X_i$ is stochastically smaller than $\Sigma_{i=1}^n \lambda_i Y_i$ for all nonnegative real numbers $\lambda_1 \geq \dots \geq \lambda_n$.
Publié le : 1997-11-14
Classification:  Coupling,  majorization,  noncentral chi-square distribution,  Poisson mixture representation,  Schur-convex function,  stochastic ordering,  60D05,  60E15,  62H99
@article{1043862426,
     author = {Mathew, Thomas and Nordstr\"om, Kenneth},
     title = {Inequalities for the probability content of a rotated ellipse and
		 related stochastic domination results},
     journal = {Ann. Appl. Probab.},
     volume = {7},
     number = {1},
     year = {1997},
     pages = { 1106-1117},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1043862426}
}
Mathew, Thomas; Nordström, Kenneth. Inequalities for the probability content of a rotated ellipse and
		 related stochastic domination results. Ann. Appl. Probab., Tome 7 (1997) no. 1, pp.  1106-1117. http://gdmltest.u-ga.fr/item/1043862426/