Preservation of weak stochastic arrangement increasing under fixed time left-censoring

Chen Li; Xiaohu Li

doi:10.1016/j.spl.2017.04.018

Preservation of weak stochastic arrangement increasing under fixed time left-censoring

Chen Li
, Xiaohu Li

Department of Mathematical Sciences

Tianjin University of Commerce

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

Both WSAI and CLOAI properties of a random vector are proved to be preserved under left-censoring at fixed times. Applications in threshold default model of financial portfolio selection and system warranty cost allocation are presented as well.

Original language	English
Pages (from-to)	42-49
Number of pages	8
Journal	Statistics and Probability Letters
Volume	129
DOIs	https://doi.org/10.1016/j.spl.2017.04.018
State	Published - Oct 2017

Keywords

Asset allocation
Cost allocation
Stochastic arrangement increasing
Warranty

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10.1016/j.spl.2017.04.018

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title = "Preservation of weak stochastic arrangement increasing under fixed time left-censoring",

abstract = "Both WSAI and CLOAI properties of a random vector are proved to be preserved under left-censoring at fixed times. Applications in threshold default model of financial portfolio selection and system warranty cost allocation are presented as well.",

keywords = "Asset allocation, Cost allocation, Stochastic arrangement increasing, Warranty",

author = "Chen Li and Xiaohu Li",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier B.V.",

year = "2017",

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doi = "10.1016/j.spl.2017.04.018",

language = "English",

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AU - Li, Chen

AU - Li, Xiaohu

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AB - Both WSAI and CLOAI properties of a random vector are proved to be preserved under left-censoring at fixed times. Applications in threshold default model of financial portfolio selection and system warranty cost allocation are presented as well.

KW - Asset allocation

KW - Cost allocation

KW - Stochastic arrangement increasing

KW - Warranty

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M3 - Article

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VL - 129

SP - 42

EP - 49

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Preservation of weak stochastic arrangement increasing under fixed time left-censoring

Abstract

Keywords

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