关于正态分布的次序统计量的随机序

On Stochastic Orders for Order Statistics\\from Normal Distributions

  • 摘要: 设X_1,X_2,\cdots,X_n和X^*_1,X^*_2,\cdots, X^*_n分别服从正态分布N(\mu_i,\sigma^2)和N(\mu^*_i,\sigma^2), 以X_(1), X^*_(1)分别表示X_1,\cdots,X_n和X^*_1,\cdots,X^*_n的极小次序统计量, 以X_(n), X^*_(n)分别表示X_1,\cdots,X_n和X^*_1,\cdots, X^*_n的极大次序统计量. 我们得到了如下结果: (i)\,如果存在严格单调函数f使得(f(\mu_1),\cdots,f(\mu_n)) \succeq_\textm (f(\mu^*_1),\cdots,f(\mu^*_n)), 且f'(x)f''(x)\!\geq\!0, 则X_(1)\!\leq_\textst\!X^*_(1); (ii)\,如果存在严格单调函数f使得(f(\mu_1), \cdots,f(\mu_n))\succeq_\textm(f(\mu^*_1),\cdots,f(\mu^*_n)), 且f'(x)f''(x)\leq 0, 则X_(n)\geq_\textstX^*_(n). (iii)\,设X_1,X_2,\cdots,X_n和\, X^*_1,X^*_2,\cdots, X^*_n分别服从正态分布N(\mu,\sigma_i^2)和N(\mu,\sigma_i^*2), 若(1/\sigma_1,\cdots,1/\sigma_n)\succeq_\textm (1/\sigma^*_1,\cdots,1/\sigma^*_n), 则有X_(1)\leq_\textstX^*_(1)和X_(n)\geq_\textstX^*_(n)同时成立.

     

    Abstract: In this paper we obtain some new results on stochastic orders for order statistics from normal distributions. Let X_1,\cdots,X_n,X^*_1,\cdots,X^*_n be independent normal random variables with X_i\sim N(\mu_i,\sigma^2) and X^*_i\sim N(\mu^*_i,\sigma^2), i=1,\cdots,n. Suppose that there exists a strictly monotone function f such that (f(\mu_1),\cdots,f(\mu_n))\succeq_\textm(f(\mu^*_1),\cdots,f(\mu^*_n)), we prove that: (i) if f'(x)f''(x)\geq 0, then X_(1)\leq_\textstX^*_(1); (ii) if f'(x)f''(x)\leq 0, then X_(n)\geq_\textstX^*_(n). Moreover, let X_i\sim N(\mu,\sigma_i^2) and X^*_i\sim N(\mu,\sigma_i^*2), i=1,\cdots,n. We obtain that (1/\sigma_1,\cdots,1/\sigma_n)\succeq_\textm (1/\sigma^*_1,\cdots,1/\sigma^*_n) implies that X_(1)\leq_\textstX^*_(1) and X_(n)\geq_\textstX^*_(n).

     

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