NNSF of China (No. 11401558), the Fundamental Research Funds for the Central Universities (No. WK2040160010), China Postdoctoral Science Foundation (No. 2014M561823) and NNSF of China (Nos. 11201452 and 11271346).
Random variables -- Mathematical models, Stochastic analysis, Mathematical statistics, Stochastic convergence, Stochastic sequences
Assuming that the joint density of random variables X1,X2, . . . ,Xn is arrangement increasing (AI), we obtain some stochastic comparison results on weighted sums of Xi’s under some additional conditions. An application to optimal capital allocation is also given.
Pan, X., Yuan, M., Kochar, S.C., Stochastic comparisons of weighted sums of arrangement increasing random variables. Statistics and Probability Letters (2015), http://dx.doi.org/10.1016/j.spl.2015.03.012