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On hazard rate ordering of dependent variables. (English) Zbl 0776.62076

Summary: J. G. Shanthikumar and D. D. Yao [ibid. 23, No. 3, 642-659 (1991; Zbl 0745.62054)] introduced some new stochastic order relations to compare the components of a bivariate random vector \((X_ 1,X_ 2)\). As they point out in their paper, even if \(X_ 1\geq X_ 2\) according to their hazard rate (or likelihood ratio) ordering, the marginal distributions may not be ordered accordingly.
We introduce some new concepts where the marginal distributions preserve the corresponding stochastic orders. Also a relation between the bivariate scale model and the introduced bivariate hazard rate ordering is established.

MSC:

62N05 Reliability and life testing
62H05 Characterization and structure theory for multivariate probability distributions; copulas
60E15 Inequalities; stochastic orderings

Citations:

Zbl 0745.62054
Full Text: DOI