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Multidimensional stochastic ordering and associated random variables. (English) Zbl 0671.60013

Summary: This paper presents several relationships between the concept of associated random variables (RVs) and notions of stochastic ordering. The question that provides the impetus for this work is whether the association of the \({\mathbb{R}}\)-valued RVs \(\{X_ 1,...,X_ n\}\) implies a possible stochastic ordering between the \({\mathbb{R}}^ n\)-valued RV \(X:=(X_ 1,...,X_ n)\) and its independent version \(\bar X:=(\bar X_ 1,...,\bar X_ n)\). This leads to results on how multidimensional probability distributions are determined by conditions on their one- dimensional marginal distributions in the event of comparison under the stochastic orderings \(\leq_{st}\), \(\leq_{ci}\), \(\leq_{cv}\), \(\leq_ D\) and \(\leq_ K\). Such results have direct implications for the comparison of bounds for Fork-Join queues and for the structure of monotone functions of several variables.

MSC:

60E99 Distribution theory
60K25 Queueing theory (aspects of probability theory)