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Some Inequalities of Linear Combinations of Independent Random Variables. I.

Published online by Cambridge University Press:  14 July 2016

Maochao Xu
Affiliation:
Illinois State University
Taizhong Hu
Affiliation:
University of Science and Technology of China
Corresponding
E-mail address:
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Abstract

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.

MSC classification

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2011 

Footnotes

Supported by the NNSF of China (grant numbers 11071232 and 70821001) and the National Basic Research Program of China (973 Program, grant number 2007CB814901).

References

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