Dispersive ordering of convolutions of exponential random variables

Let X[lambda]1,...,X[lambda]n be independent random variables such that X[lambda]i has exponential distribution with hazard rate [lambda]i, i=1,...,n. It is shown that [summation operator]i=1nX[lambda]i is more dispersed than [summation operator]i=1nX[lambda]i* if ([lambda]1,...,[lambda]n) majorizes ([lambda]1*,...,[lambda]n*).

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Year of publication:	1999
Authors:	Kochar, Subhash ; Ma, Chunsheng
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 43.1999, 3, p. 321-324
Publisher:	Elsevier
Keywords:	Convolution Dispersive ordering Likelihood ratio ordering Majorization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005143407