Markov inequalities on partially ordered spaces
Let X([omega]) be a random element taking values in a linear space 4 endowed with the partial order <=; let 10 be the class of nonnegative order-preserving functions on 4 such that, for each g[set membership, variant]10, E[g(X)] is defined; and let 11n10 be the subclass of concave functions. A version of Markov's inequality for such spaces in P(X >= x) <= inf10E[g(X)]/g(x). Moreover, if E(X) = [xi] is defined and if Jensen's inequality applies, we have a further inequality P(X>=x) <= inf11E[g(X)]/g(x) <= inf11g([xi])/g(x). Applications are given using a variety or orderings of interest in statistics and applied probability.
Year of publication: |
1981
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Authors: | Jensen, D. R. ; Foutz, R. V. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 11.1981, 2, p. 250-259
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Publisher: |
Elsevier |
Keywords: | Probability inequalities order-preserving functions stochastic order peakedness ordering of measures an ordering for time series |
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