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The preservation of likelihood ratio ordering under convolution

Author

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  • Shanthikumar, J. George
  • Yao, David D.

Abstract

Unlike stochastic ordering ([greater-or-equal, slanted]st), which is preserved under convolution (i.e., summation of independent random variables), so far it is only known that likelihood ratio ordering ([greater-or-equal, slanted]lr) is preserved under convolution of log-concave (PF2) random variables. In this paper we define a stronger version of likelihood ratio ordering, termed shifted likelihood ratio ordering ([greater-or-equal, slanted]lr[short up arrow]) and show that it is preserved, under convolution. An application of this closure property to closed queueing network is given. Other properties of shifted likelihood ratio ordering are also discussed.

Suggested Citation

  • Shanthikumar, J. George & Yao, David D., 1986. "The preservation of likelihood ratio ordering under convolution," Stochastic Processes and their Applications, Elsevier, vol. 23(2), pages 259-267, December.
    • Handle: RePEc:eee:spapps:v:23:y:1986:i:2:p:259-267
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    Cited by:

    1. Yinbo Feng & Ming Hu, 2017. "Blockbuster or Niche? Competitive Strategy under Network Effects," Working Papers 17-13, NET Institute.
    2. Shaked, Moshe & George Shanthikumar, J., 1995. "Hazard rate ordering of k-out-of-n systems," Statistics & Probability Letters, Elsevier, vol. 23(1), pages 1-8, April.
    3. Nanda, Asok K. & Das, Suchismita, 2012. "Stochastic orders of the Marshall–Olkin extended distribution," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 295-302.
    4. Taizhong Hu & Asok K. Nanda & Huiliang Xie & Zegang Zhu, 2004. "Properties of some stochastic orders: A unified study," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(2), pages 193-216, March.
    5. Lillo, Rosa E. & Nanda, Asok K. & Shaked, Moshe, 2001. "Preservation of some likelihood ratio stochastic orders by order statistics," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 111-119, January.
    6. Félix Belzunce & Moshe Shaked, 2004. "Failure profiles of coherent systems," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(4), pages 477-490, June.
    7. Belzunce, Félix & Ruiz, José M. & Shaked, Moshe, 2000. "Stochastic comparisons of nonhomogeneous processes," DES - Working Papers. Statistics and Econometrics. WS 9866, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Hu, Taizhong & Zhu, Zegang, 2001. "An analytic proof of the preservation of the up-shifted likelihood ratio order under convolutions," Stochastic Processes and their Applications, Elsevier, vol. 95(1), pages 55-61, September.
    9. Xiuli Chao & Carlton Scott, 2000. "Several Results on the Design of Queueing Systems," Operations Research, INFORMS, vol. 48(6), pages 965-970, December.
    10. Daduna, Hans & Szekli, Ryszard, 1996. "A queueing theoretical proof of increasing property of Polya frequency functions," Statistics & Probability Letters, Elsevier, vol. 26(3), pages 233-242, February.
    11. Sonja Otten & Ruslan Krenzler & Lin Xie & Hans Daduna & Karsten Kruse, 2022. "Analysis of semi-open queueing networks using lost customers approximation with an application to robotic mobile fulfilment systems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(2), pages 603-648, June.

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