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The mixing advantage is less than 2

Peter Jagers (Institutionen för matematiska vetenskaper, matematisk statistik) ; Kais Hamza ; Aidan Sudbury ; Daniel Tokarev
Extremes (1386-1999). Vol. 12 (2009), 1, p. 19-31.
[Artikel, refereegranskad vetenskaplig]

Corresponding to n independent non-negative random variables X_1,...,X_n , are values M_1,...,M_n , where each M_i is the expected value of the maximum of n independent copies of X_i. We obtain an upper bound for the expected value of the maximum of X_1,...,X_n in terms of M_1,...,M_n . This inequality is sharp in the sense that the random variables can be chosen so that the bound is approached arbitrarily closely. We also present related comparison results.

Nyckelord: Mixing - Stochastic ordering - Distribution of the maximum



Denna post skapades 2010-01-15. Senast ändrad 2014-12-09.
CPL Pubid: 107990

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematisk statistik (2005-2016)

Ämnesområden

Optimeringslära, systemteori
Matematisk statistik

Chalmers infrastruktur