Properties of the stochastic ordering for discrete distributions and their applications to the renewal sequence generated by a nonhomogeneous Markov chain
Author:
V. V. Golomozyĭ
Translated by:
N. N. Semenov
Journal:
Theor. Probability and Math. Statist. 97 (2018), 33-43
MSC (2010):
Primary 60J45; Secondary 60A05, 60K05
DOI:
https://doi.org/10.1090/tpms/1046
Published electronically:
February 21, 2019
MathSciNet review:
3745997
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Additional Information
Abstract: The generalized stochastic ordering is studied for which the dominating sequence is not necessarily a probability distribution so that its total mass may exceed unity. We study the stochastic ordering for sums as well as random sums of independent as well as dependent random variables. A stochastic ordering is constructed for the renewal sequence generated by a nonhomogeneous Markov chain. The consideration is restricted to the case of discrete random variables.
References
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- M. V. Kartashov and V. V. Golomoziĭ, Maximal coupling and stability of discrete Markov chains. I, Teor. Ĭmovīr. Mat. Stat. 86 (2011), 81–91 (Ukrainian, with English, Russian and Ukrainian summaries); English transl., Theory Probab. Math. Statist. 86 (2013), 93–104. MR 2986452, DOI https://doi.org/10.1090/S0094-9000-2013-00891-6
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References
- S. P. Mayn and R. L. Tweedie, Markov Chains and Stochastic Stability, Springer-Verlag, 1993. MR 1287609
- H. Thorisson, Coupling, Stationarity, and Regeneration, Springer, New York, 2000. MR 1741181
- T. Lindvall, Lectures on the Coupling Method, John Wiley and Sons, 1991. MR 1180522
- V. Golomozyĭ and M. Kartashov, On the integrability of the coupling moment for time-inhomogeneous Markov chains, Theory Probab. Math. Statist. 89 (2014), 1–12. MR 3235170
- V. Golomozyĭ, An estimate of the expectation of the excess of a renewal sequence generated by a time-inhomogeneous Markov chain if a square-integrable majorizing sequence exists, Theory Probab. Math. Statist. 94 (2017), 53–62. MR 3553453
- V. Golomozyĭ, An estimate for an expectation of the simultaneous renewal for time-inhomogeneous Markov chains, Modern Stoch. Theory Appl. 3 (2016), no. 4. MR 3593115
- V. Golomozyĭ, Stability estimate for time-inhomogeneous Markov chains under the classical minorization condition, Theory Probab. Math. Statist. 88 (2014). MR 3112633
- V. Golomozyĭ, Stability of time-inhomogeneous Markov chains, Bulletin of Kyiv University (Physics and Mathematical Sciences) 4 (2009), 10–15. (Ukrainian)
- M. Kartashov and V. Golomozyĭ, Maximal coupling and stability of discrete Markov chains, I, Theory Probab. Math. Statist. 86 (2013), 81–92. MR 2986452
- M. Kartashov and V. Golomozyĭ, Maximal coupling and stability of discrete Markov chains, II, Theory Probab. Math. Statist. 87 (2013), 58–70. MR 2986452
- A. Klenke and L. Mattner, Stochastic ordering of classical discrete distributions, Adv. Appl. Probab. 42 (2010), no. 2, 392–410. MR 2675109
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Additional Information
V. V. Golomozyĭ
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, Kyiv Taras Shevchenko National University, Volodymyrs’ka Street, 64/13, Kyiv 01601, Ukraine
Email:
mailtower@gmail.com
Keywords:
Discrete Markov chain,
stability of distributions,
coupling method,
theory of coupling
Received by editor(s):
September 27, 2017
Published electronically:
February 21, 2019
Article copyright:
© Copyright 2019
American Mathematical Society