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Stochastic ordering of classical discrete distributions

Published online by Cambridge University Press:  01 July 2016

Achim Klenke*
Affiliation:
Johannes Gutenberg-Universität Mainz
Lutz Mattner*
Affiliation:
Universität Trier
*
Postal address: Johannes Gutenberg-Universität Mainz, Institut für Mathematik, Staudingerweg 9, 55099 Mainz, Germany. Email address: [email protected]
∗∗ Postal address: Universität Trier, FB IV - Mathematik, 54286 Trier, Germany. Email address: [email protected]
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Abstract

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For several pairs (P, Q) of classical distributions on ℕ0, we show that their stochastic ordering PstQ can be characterized by their extreme tail ordering equivalent to P({k*})/Q({k*}) ≥ 1 ≥ limkk*P({k})/Q({k}), with k* and k* denoting the minimum and the supremum of the support of P + Q, and with the limit to be read as P({k*})/Q({k*}) for finite k*. This includes in particular all pairs where P and Q are both binomial (bn1,p1stbn2,p2 if and only if n1n2 and (1 - p1)n1 ≥ (1 - p2)n2, or p1 = 0), both negative binomial (br1,p1stbr2,p2 if and only if p1p2 and p1r1p2r2), or both hypergeometric with the same sample size parameter. The binomial case is contained in a known result about Bernoulli convolutions, the other two cases appear to be new. The emphasis of this paper is on providing a variety of different methods of proofs: (i) half monotone likelihood ratios, (ii) explicit coupling, (iii) Markov chain comparison, (iv) analytic calculation, and (v) comparison of Lévy measures. We give four proofs in the binomial case (methods (i)-(iv)) and three in the negative binomial case (methods (i), (iv), and (v)). The statement for hypergeometric distributions is proved via method (i).

Type
General Applied Probability
Copyright
Copyright © Applied Probability Trust 2010 

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