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A relation between positive dependence of signal and the variability of conditional expectation given signal. (English) Zbl 1144.60304

Summary: Let \(S_1\) and \(S_2\) be two signals of a random variable \(X\), where \(G_1(s_1\mid x)\) and \(G_2(s-2\mid x)\) are their conditional distributions given \(X = x\). If, for all \(s_1\) and \(s_2\), \(G_1(s_1\mid x)-G_2(s_2\mid x)\) changes sign at most once from negative to positive as \(x\) increases, then the conditional expectation of \(X\) given \(S_2\) is greater than the conditional expectation of \(X\) given \(S_2\) in the convex order, provided that both conditional expectations are increasing. The stochastic order of the sufficient condition is equivalent to the more stochastically increasing order when \(S_1\) and \(S_2\) have the same marginal distribution and, when \(S_1\) and \(S_2\) are sums of \(X\) and independent noises, it is equivalent to the dispersive order of the noises.

MSC:

60E15 Inequalities; stochastic orderings
94A12 Signal theory (characterization, reconstruction, filtering, etc.)
Full Text: DOI

References:

[1] Joe, H. (1997). Multivariate Models and Dependence Concepts. Chapman & Hall, London. · Zbl 0990.62517
[2] Müller, J. and Stoyan, D. (2002). Comparison Methods for Stochastic Models and Risks. John Wiley, Chichester. · Zbl 0999.60002
[3] Shaked, M. and Shanthikumar, J. G. (1994). Stochastic Orders and Applications. Academic Press, San Diego, CA. · Zbl 0806.62009
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