Ordering properties concerned with three dimensional random vectors coupled by Archimedean copulas and applications

Yinping You, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

Abstract

For a three dimensional nonnegative random vector with an Archimedean copula, one can construct different random variables by consecutively applying bivariate maxima, minima or addition to its marginals. This paper studies ordering properties of such random variables. The present results successfully improve or extend the results on mutually independent random variables in the related literature. Applications in allocating one redundancy to series systems and merging channels in traffic flows regulating are presented as well.

Original languageEnglish
Pages (from-to)117-133
Number of pages17
JournalJournal of Applied Probability and Statistics
Volume10
Issue number2
StatePublished - 2015

Keywords

  • Archimedean copula
  • RWSAI
  • Stochastic order
  • Stochastic preference order

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