An Ordering Theorem for Conditionally Independent and Identically Distributed Random Variables
Tong, Y. L.
Ann. Statist., Tome 5 (1977) no. 1, p. 274-277 / Harvested from Project Euclid
Let $\mathbf{a}$ and $\mathbf{b}$ be $r$-dimensional real vectors. It is shown that if $\mathbf{a}$ majorizes $\mathbf{b}$, then $E(\Pi^r_{j = 1} X_j^a j) \geqq E(\Pi^r_{j = 1} X_j^b j)$ holds for nonnegative random variables $X_1, \cdots, X_r$ whose joint pdf is permutation symmetric. If in addition the components of $\mathbf{a, b}$ are nonnegative integers, then for every Borel-measurable set $A$, $\Pi^r_{j = 1} P\lbrack\cap^{a_j}_{i = 1} \{Z_i \in A\}\rbrack \geqq \Pi^r_{j = 1} P\lbrack\cap^{b_j}_{i = 1} \{Z_i \in A\}\rbrack$ holds for conditionally i.i.d. random variables $Z_i$. Applications are considered.
Publié le : 1977-03-14
Classification:  Conditionally i.i.d. random variables,  majorization,  moment inequalities,  probability inequalities for multivariate distributions,  multiple decision problems,  26A86,  62H99
@article{1176343794,
     author = {Tong, Y. L.},
     title = {An Ordering Theorem for Conditionally Independent and Identically Distributed Random Variables},
     journal = {Ann. Statist.},
     volume = {5},
     number = {1},
     year = {1977},
     pages = { 274-277},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343794}
}
Tong, Y. L. An Ordering Theorem for Conditionally Independent and Identically Distributed Random Variables. Ann. Statist., Tome 5 (1977) no. 1, pp.  274-277. http://gdmltest.u-ga.fr/item/1176343794/