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 Nisticò
Date Deposited: 20 Dec 2010 11:50
Last Modified: 21 Apr 2015 23:14
URI: http://eprints.luiss.it/id/eprint/867


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