English

Stochastic ordering of classical discrete distributions

Probability 2010-03-09 v2

Abstract

For several pairs (P,Q)(P,Q) of classical distributions on N0\N_0, we show that their stochastic ordering PstQP\leq_{st} Q can be characterized by their extreme tail ordering equivalent to P({k})/Q({k})1limkkP({k})/Q({k}) P(\{k_\ast \})/Q(\{k_\ast\}) \le 1 \le \lim_{k\to k^\ast} P(\{k\})/Q(\{k\}), with kk_\ast and kk^\ast denoting the minimum and the supremum of the support of P+QP+Q, and with the limit to be read as P({k})/Q({k})P(\{k^\ast\})/Q(\{k^\ast\}) for kk^\ast finite. This includes in particular all pairs where PP and QQ are both binomial (bn1,p1stbn2,p2b_{n_1,p_1} \leq_{st} b_{n_2,p_2} if and only if n1n2n_1\le n_2 and (1p1)n1(1p2)n2(1-p_1)^{n_1}\ge(1-p_2)^{n_2}, or p1=0p_1=0), both negative binomial (br1,p1stbr2,p2b^-_{r_1,p_1}\leq_{st} b^-_{r_2,p_2} if and only if p1p2p_1\geq p_2 and p1r1p2r2p_1^{r_1}\geq p_2^{r_2}), 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 Levy 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).

Keywords

Cite

@article{arxiv.0903.1361,
  title  = {Stochastic ordering of classical discrete distributions},
  author = {Achim Klenke and Lutz Mattner},
  journal= {arXiv preprint arXiv:0903.1361},
  year   = {2010}
}

Comments

typos corrected, two references added

R2 v1 2026-06-21T12:19:27.090Z