On stochastic comparisons of excess times

Bassan, Bruno and Rinott, Yosef and Vardi, Yehuda (2002) On stochastic comparisons of excess times. [Discussion Paper]. p. 9. Discussion Paper Series (No. 302). (Submitted)

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A stationary renewal process based on iid random variables $X_i$ is observed at a given time. The excess time, that is, the residual time until the next renewal event, is of course smaller than the total current $X$ which consists of the residual time plus the current age. Nevertheless in certain types of data the distribution of the excess times is stochastically larger than that of $X_i$'s. We find necessary and sufficient conditions that explain this phenomenon, and related results on stochastic orderings arising from observations on renewal processes.

Item Type:Report / Paper (Discussion Paper)
Research documents and activity classification:Working Papers > Non-Refereed Working Papers / of national relevance only
Divisions:Department of Business and Management
Uncontrolled Keywords:Renewal process, hazard rate, NWU and DFR, distributions, likelihood ratio ordering.
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-P/05 Econometrics
Deposited By:Maria Teresa Nistico
Deposited On:20 Dec 2010 12:50
Last Modified:30 Apr 2013 18:37

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