IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v129y2014icp82-94.html
   My bibliography  Save this article

Stochastic comparison of multivariate conditionally dependent mixtures

Author

Listed:
  • Badía, F.G.
  • Sangüesa, C.
  • Cha, J.H.

Abstract

In this paper we establish multivariate likelihood ratio, hazard rate, and reversed hazard rate stochastic orderings between two mixtures of multivariate distributions. The new results in this paper extend some recent results in the literature by assuming that the components of the mixture can be conditionally dependent.

Suggested Citation

  • Badía, F.G. & Sangüesa, C. & Cha, J.H., 2014. "Stochastic comparison of multivariate conditionally dependent mixtures," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 82-94.
    • Handle: RePEc:eee:jmvana:v:129:y:2014:i:c:p:82-94
    DOI: 10.1016/j.jmva.2014.04.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X1400075X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jmva.2014.04.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Rinott, Yosef & Scarsini, Marco, 2006. "Total positivity order and the normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1251-1261, May.
    2. Pellerey, Franco, 1999. "Stochastic Comparisons for Multivariate Shock Models," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 42-55, October.
    3. repec:hal:wpaper:hal-00746251 is not listed on IDEAS
    4. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities II. Multivariate reverse rule distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 499-516, December.
    5. Horrace, William C., 2005. "On ranking and selection from independent truncated normal distributions," Journal of Econometrics, Elsevier, vol. 126(2), pages 335-354, June.
    6. Dutang, C. & Lefèvre, C. & Loisel, S., 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 774-785.
    7. Khaledi, Baha-Eldin & Shaked, Moshe, 2010. "Stochastic comparisons of multivariate mixtures," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2486-2498, November.
    8. Hu, Taizhong & Khaledi, Baha-Eldin & Shaked, Moshe, 2003. "Multivariate hazard rate orders," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 173-189, January.
    9. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
    10. Belzunce, Félix & Mercader, José-Angel & Ruiz, José-María & Spizzichino, Fabio, 2009. "Stochastic comparisons of multivariate mixture models," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1657-1669, September.
    11. Horrace, William C., 2005. "Some results on the multivariate truncated normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 209-221, May.
    12. Li, Xiaohu & Da, Gaofeng, 2010. "Stochastic comparisons in multivariate mixed model of proportional reversed hazard rate with applications," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 1016-1025, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Arriaza, Antonio & Navarro, Jorge & Ortega-Jiménez, Patricia, 2024. "Risk times in mission-oriented systems," LIDAM Discussion Papers ISBA 2024017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Balakrishnan, Narayanaswamy & Barmalzan, Ghobad & Haidari, Abedin, 2016. "Multivariate stochastic comparisons of multivariate mixture models and their applications," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 37-43.
    3. Francisco Germán Badía & Hyunju Lee, 2020. "On stochastic comparisons and ageing properties of multivariate proportional hazard rate mixtures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(3), pages 355-375, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Khaledi, Baha-Eldin & Shaked, Moshe, 2010. "Stochastic comparisons of multivariate mixtures," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2486-2498, November.
    2. Ebrahim Amini-Seresht & Baha-Eldin Khaledi, 2015. "Multivariate stochastic comparisons of mixture models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(8), pages 1015-1034, November.
    3. Bhattacharya, Bhaskar, 2012. "Covariance selection and multivariate dependence," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 212-228.
    4. Balakrishnan, Narayanaswamy & Barmalzan, Ghobad & Haidari, Abedin, 2016. "Multivariate stochastic comparisons of multivariate mixture models and their applications," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 37-43.
    5. Ori Davidov & Amir Herman, 2011. "Multivariate Stochastic Orders Induced by Case-Control Sampling," Methodology and Computing in Applied Probability, Springer, vol. 13(1), pages 139-154, March.
    6. Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2006. "Some positive dependence stochastic orders," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 46-78, January.
    7. Bezgina, E. & Burkschat, M., 2019. "On total positivity of exchangeable random variables obtained by symmetrization, with applications to failure-dependent lifetimes," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 95-109.
    8. Francisco Germán Badía & Hyunju Lee, 2020. "On stochastic comparisons and ageing properties of multivariate proportional hazard rate mixtures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(3), pages 355-375, April.
    9. Li, Xiaohu & Da, Gaofeng, 2010. "Stochastic comparisons in multivariate mixed model of proportional reversed hazard rate with applications," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 1016-1025, April.
    10. Jules L. Ellis & Klaas Sijtsma, 2023. "A Test to Distinguish Monotone Homogeneity from Monotone Multifactor Models," Psychometrika, Springer;The Psychometric Society, vol. 88(2), pages 387-412, June.
    11. Mercier, Sophie & Pham, Hai Ha, 2017. "A bivariate failure time model with random shocks and mixed effects," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 33-51.
    12. Xiaohu Li & Gaofeng Da & Peng Zhao, 2012. "Competing Between Two Groups of Individuals Following Frailty Models," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 1033-1051, December.
    13. Nowak, Piotr Bolesław, 2016. "The MLE of the mean of the exponential distribution based on grouped data is stochastically increasing," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 49-54.
    14. Colangelo Antonio, 2005. "Multivariate hazard orderings of discrete random vectors," Economics and Quantitative Methods qf05010, Department of Economics, University of Insubria.
    15. Chi, Chang Koo & Murto, Pauli & Valimaki, Juuso, 2017. "All-Pay Auctions with Affiliated Values," MPRA Paper 80799, University Library of Munich, Germany.
    16. Vikram Krishnamurthy & Udit Pareek, 2015. "Myopic Bounds for Optimal Policy of POMDPs: An Extension of Lovejoy’s Structural Results," Operations Research, INFORMS, vol. 63(2), pages 428-434, April.
    17. Prokopovych, Pavlo & Yannelis, Nicholas C., 2019. "On monotone approximate and exact equilibria of an asymmetric first-price auction with affiliated private information," Journal of Economic Theory, Elsevier, vol. 184(C).
    18. Patricio S. Dalton & Sayantan Ghosal & Anandi Mani, 2016. "Poverty and Aspirations Failure," Economic Journal, Royal Economic Society, vol. 126(590), pages 165-188, February.
    19. Castaño-Martínez, A. & Pigueiras, G. & Sordo, M.A., 2019. "On a family of risk measures based on largest claims," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 92-97.
    20. Elina Robeva & Bernd Sturmfels & Ngoc Tran & Caroline Uhler, 2021. "Maximum likelihood estimation for totally positive log‐concave densities," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 817-844, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:129:y:2014:i:c:p:82-94. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.