Schur properties of convolutions of gamma random variables
Probability
2016-01-20 v1 Statistics Theory
Statistics Theory
Abstract
Sufficient conditions for comparing the convolutions of heterogeneous gamma random variables in terms of the usual stochastic order are established. Such comparisons are characterized by the Schur convexity properties of the cumulative distribution function of the convolutions. Some examples of the practical applications of our results are given.
Keywords
Cite
@article{arxiv.1601.04731,
title = {Schur properties of convolutions of gamma random variables},
author = {Farbod Roosta-Khorasani and Gabor J. Szekely},
journal= {arXiv preprint arXiv:1601.04731},
year = {2016}
}