Stochastic Ordering Research Articles

Characterizing the asymptotic and catalytic stochastic orders on topological abelian groups

Characterizing the asymptotic and catalytic stochastic orders on topological abelian groups

Stochastic zeroth order descent with structured directions

Stochastic zeroth order descent with structured directions

A Nonparametric Global Win Probability Approach to the Analysis and Sizing of Randomized Controlled Trials With Multiple Endpoints of Different Scales and Missing Data: Beyond O'Brien-Wei-Lachin.

Multiple primary endpoints are commonly used in randomized controlled trials to assess treatment effects. When the endpoints are measured on different scales, the O'Brien rank-sum test or the Wei-Lachin test for stochastic ordering may be used for hypothesis testing. However, the O'Brien-Wei-Lachin (OWL) approach is unable to handle missing data and adjust for baseline measurements. We present a nonparametric approach for data analysis that encompasses the OWL approach as a special case. Our approach is based on quantifying an endpoint-specific treatment effect using the probability that a participant in the treatment group has a better score than (or a win over) a participant in the control group. The average of the endpoint-specific win probabilities (WinPs), termed the global win probability (gWinP), is used to quantify the global treatment effect, with the null hypothesis gWinP = 0.50. Our approach involves converting the data for each endpoint to endpoint-specific win fractions, and modeling the win fractions using multivariate linear mixed models to obtain estimates of the endpoint-specific WinPs and the associated variance-covariance matrix. Focusing on confidence interval estimation for the gWinP, we derive sample size formulas for clinical trial design. Simulation results demonstrate that our approach performed well in terms of bias, interval coverage percentage, and assurance of achieving a pre-specified precision for the gWinP. Illustrative code for implementing the methods using SAS PROC RANK and PROC MIXED is provided.

Majorization and randomness measures

Abstract A series of papers by Hickey (1982, 1983, 1984) presents a stochastic ordering based on randomness. This paper extends the results by introducing a novel methodology to derive models that preserve stochastic ordering based on randomness. We achieve this by presenting a new family of pseudometric spaces based on a majorization property. This class of pseudometrics provides a new methodology for deriving the randomness measure of a random variable. Using this, the paper introduces the Gini randomness measure and states its essential properties. We demonstrate that the proposed measure has certain advantages over entropy measures. The measure satisfies the value validity property, provides an adequate extension to continuous random variables, and is often more appropriate (based on sensitivity) than entropy in various scenarios.

On the Conflation of Negative Binomial and Logarithmic Distributions

In recent decades, the study of discrete distributions has received increasing attention in the field of statistics, mainly because discrete distributions can model a wide range of count data. One common distribution used for modeling count data, for instance, is the negative binomial distribution (NBD), which performs well with over-dispersed data. In this paper, a new count distribution is introduced, called the conflation of negative binomial and logarithmic distributions, which is formed by conflating the negative binomial and logarithmic distributions, resulting in a distribution that possesses some of the properties of negative binomial and logarithmic distributions. The distribution has two parameters and is verified by a positive integer. Two modifications are proposed to the distribution, which includes zero as a support point. The new distribution is valuable from a theoretical perspective since it is a member of the weighted negative binomial distribution family. In addition, the distribution differs from the NBD in the sense that the probability of lower counts is inflated. This study discusses the characteristics of the proposed distribution and its modified versions, such as moments, probability generating functions, likelihood stochastic ordering, log-concavity, and unimodality properties. Real-world data are used to evaluate the performance of the proposed models against other models. All computations shown in this paper were produced using the R programming language.

Physical aspects of quantile residual lifetime sequence

Abstract The modeling of count data is found in many fields, such as statistical physics, public health, medicine, epidemiology, applied science, sociology, and agriculture. In many physical situations, it has been observed that many times in the real world, the original variables may be continuous in nature, but discrete by observation. In this study, the α {\rm{\alpha }} -quantile residual life function for discrete lifetime models is defined and some attributes are investigated. The relation between this measure and the hazard rate function is studied. We discuss how this measure could be useful for finding the burn-in time of a lifetime dataset. Then, a new stochastic order based on the α {\rm{\alpha }} -quantile residual life is proposed and studied.

Extended weighted generalized cumulative residual entropy for risk measurement

In this paper, we propose an extended variant of Weighted Generalized Cumulative Residual Entropy (WGCRE), its dynamic version, and a Weighted Generalized Cumulative Kerridge Inaccuracy measure by considering a general continuous non negative weight function. Several properties, including bounds and stochastic ordering, of these measures are obtained under appropriate assumptions. Furthermore, we introduce the empirical extended WGCRE as a non-parametric estimator, demonstrating its almost sure convergence to the proposed measure. A central limit theorem is established, examples are provided for illustrative purposes, and the stability of the empirical measure is examined. Finally, we demonstrate the practicality of this measure using real financial data for risk measurement.

Information Properties of Consecutive Systems Using Fractional Generalized Cumulative Residual Entropy

We investigate some information properties of consecutive k-out-of-n:G systems in light of fractional generalized cumulative residual entropy. We firstly derive a formula to compute fractional generalized cumulative residual entropy related to the system’s lifetime and explore its preservation properties in terms of established stochastic orders. Additionally, we obtain useful bounds. To aid practical applications, we propose two nonparametric estimators for the fractional generalized cumulative residual entropy in these systems. The efficiency and performance of these estimators are illustrated using simulated and real datasets.

Collective risk models with FGM dependence

ABSTRACT We study copula-based collective risk models when the dependence structure is defined by a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence between the class of FGM copulas and multivariate symmetric Bernoulli distributions, we find convenient representations for the moments and Laplace-Stieltjes transform for the aggregate random variable defined from collective risk models with FGM dependence. We examine different components of this collective risk model, aiming to better understand the impact of the assumed dependence between a claim's frequency and severity. Relying on stochastic ordering, we analyze the impact of dependence on the aggregate claim amount random variable. Even if the FGM copula may only induce moderate dependence, we illustrate through numerical examples that the cumulative effect of FGM dependence can lead to substantial variations in key risk measures on aggregate random variables defined from collective risk models.

Stochastic ordering results on extreme order statistics from dependent samples with Archimedean copula

This paper considers parallel and series systems with heterogeneous components having dependent exponential lifetimes. The underlying dependence is assumed to be Archimedean and the component lifetimes are supposed to be connected according to an Archimedean copula. Sufficient conditions are found to dominate a parallel system with heterogenous exponential components, with respect to the dispersive order, by another parallel system with homogenous exponential components where the dependence structure between lifetimes of components is the same. We also compare two series systems (and two parallel systems) with general one-parameter dependent components and with respect to the usual stochastic ordering. Examples are given to illustrate the theoretical findings.

Stochastic properties of varentropy based on residual lifetime

The objective in the study of reliability and survival theory is to have precision in the extracted information. The measure of dispersion in the information content has been newly introduced in the information theory, known as varentropy. Studying the variability in the uncertainty measure is found productive for stochastic systems conditional on survival. In this paper, we provide a novel stochastic order based on the notion of residual varentropy and study its properties. Further on the basis of the residual varentropy, novel classes of life distributions are identified and investigated in detail. Moreover, some applications of the proposed order are produced at the end.

Connection between higher order measures of risk and stochastic dominance

Higher order risk measures are stochastic optimization problems by design, and for this reason they enjoy valuable properties in optimization under uncertainties. They nicely integrate with stochastic optimization problems, as has been observed by the intriguing concept of the risk quadrangles, for example. Stochastic dominance is a binary relation for random variables to compare random outcomes. It is demonstrated that the concepts of higher order risk measures and stochastic dominance are equivalent, they can be employed to characterize the other. The paper explores these relations and connects stochastic orders, higher order risk measures and the risk quadrangle. Expectiles are employed to exemplify the relations obtained.

Stochastic comparisons of second largest order statistics with dependent heterogeneous random variables

In the context of actuarial science, the second largest claim amount is crucial to insurance analysis since they provide useful information for determining annual premium. In this article, we provide sufficient conditions of the second largest claim amounts arising from two sets of dependent and heterogeneous individual risk models according to various stochastic orders. It is first shown that the reversed hazard order between the occurrence probabilities vectors implies the reversed hazard order of the second largest claim amounts under certain conditions. Second, sufficient conditions are established for the usual stochastic ordering of the second largest claim amounts arising from heterogeneous dependent individual risk models under copula dependence. Finally, several examples illustrating the theoretical results are presented as well.

The power new XLindley distribution: Statistical inference, fuzzy reliability, and applications

This paper introduces the power new XLindley (PNXL) distribution, a novel two-parameter distribution derived using the power transformation method applied to the XLindley distribution. We thoroughly explore the structural properties of the PNXL distribution, including the rth moment about the origin, moment generating function, survival rate function, distribution function, hazard rate function, skewness, kurtosis, and coefficient of variation. Additionally, we derive the quantile function, fuzzy reliability, reliability measures, stochastic ordering, and actuarial measures for this new distribution. To estimate the parameters of the PNXL distribution, we propose several estimators and evaluate their performance through extensive simulation studies. To demonstrate the applicability and superiority of the PNXL distribution over existing distributions, we fit it to two real datasets and compare its performance with potential competing models. The results highlight the PNXL distribution's effectiveness and potential as a robust tool for modeling and analyzing real-world data.

Maintenance optimization for multi-component systems with a single sensor

We consider a multi-component system in which a single sensor monitors a condition parameter. Monitoring gives the decision maker partial information about the system state, but it does not reveal the exact state of the components. Each component follows a discrete degradation process, possibly correlated with the degradation of other components. The decision maker infers a belief about each component’s exact state from the current condition signal and the past data, and uses that to decide when to intervene for maintenance. A maintenance intervention consists of a complete and perfect inspection, and may be followed by component replacements. We model this problem as a partially observable Markov decision process. For a suitable stochastic order, we show that the optimal policy partitions in at most three regions on stochastically ordered line segments. Furthermore, we show that in some instances, the optimal policy can be partitioned into two regions on line segments. In two examples, we visualize the optimal policy. To solve the examples, we modify the incremental pruning algorithm, an exact solution algorithm for partially observable Markov decision processes. Our modification has the potential to also speed up the solution of other problems formulated as partially observable Markov decision processes.

New results for the Marshall-Olkin family of distributions

Abstract The Marshall-Olkin family of probability distributions has been the inspiration of numerous research publications in the field of probability distributions. In this paper, we present several new properties of this family. In particular, we focus on stochastic orders, stress-strength reliability, Lorenz and the Leimkhuler curves, compounding, and integrated tail distribution. Two applications related to Lorenz curves and ruin theory are finally presented.

Exploring the Landscape of Fractional-Order Models in Epidemiology: A Comparative Simulation Study

Mathematical models play a crucial role in evaluating real-life processes qualitatively and quantitatively. They have been extensively employed to study the spread of diseases such as hepatitis B, COVID-19, influenza, and other epidemics. Many researchers have discussed various types of epidemiological models, including deterministic, stochastic, and fractional order models, for this purpose. This article presents a comprehensive review and comparative study of the transmission dynamics of fractional order in epidemiological modeling. A significant portion of the paper is dedicated to the graphical simulation of these models, providing a visual representation of their behavior and characteristics. The article further embarks on a comparative analysis of fractional-order models with their integer-order counterparts. This comparison sheds light on the nuances and subtleties that differentiate these models, thereby offering valuable insights into their respective strengths and limitations. The paper also explores time delay models, non-linear incidence rate models, and stochastic models, explaining their use and significance in epidemiology. It includes studies and models that focus on the transmission dynamics of diseases using fractional order models, as well as comparisons with integer-order models. The findings from this study contribute to the broader understanding of epidemiological modeling, paving the way for more accurate and effective strategies in disease control and prevention.

A stochastic ordering of multiple hypergeometric laws: Peakedness of category counts about half the population category sizes is symmetric unimodal in the sample size

Suppose X is a frequency vector that follows a central multiple hypergeometric distribution, such as arises in random sampling of an m-category attribute from a finite population without replacement. We call the event where X satisfies a prespecified set of symmetrical—but otherwise arbitrary—interval constraints in each component a symmetric core event. We show that the probability of any symmetric core event—in other words, the multivariate peakedness in the sense of Birnbaum (1948) and Tong (1988)—is symmetric unimodal as a function of the sample size. Two proofs are given. The shorter one relies on a convolution property of ultra-log-concave sequences, which implies that the sequence of peakedness values is log-concave (even for asymmetric rectangular events). The longer, though more elementary, proof does not rely on notions of log-concavity. To illustrate the use of symmetric core events, we analyze a simple yet interesting wager in a sequential card game. Finally, we indicate that the unimodality result for symmetric core events is pivotal in proving a certain variance reduction inequality involving multinomial frequencies subject to arbitrary interval censoring.

Some stochastic comparison results for frailty and resilience models

. Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained heterogeneity among experimental units. This article investigates the effects of frailty and resilience random variables on the baseline random variables using some shifted stochastic orders based on some ageing properties of the baseline random variables. Relevant examples are presented to illustrate the findings, and the applicability of the results is demonstrated with real-world data, highlighting their relevance in practical scenarios.

A two-stage distributed stochastic planning method for source-grid-load-storage flexibility resources considering flexible ramp capacity

With rapidly increasing levels of renewable energy penetration, flexibility resources play an ever more critical role in the future power system. This paper describes a two-stage stochastic mixed integer second order cone (MISOC) method for flexibility resource planning (VFRP) considering source-grid-load-storage interactions. Considering renewable energy penetration levels and flexibility resource characteristics, this study quantifies the extent to which the share of renewable energy generation affects cost performance, and assesses the priority and potential of investing in flexibility resources. Moreover, the multi-type flexibility resource portfolio allocation method and energy storage only approach are compared in terms of socio-economic benefits. A multi-cut Benders-based approach is used for decomposing large-scale stochastic expansion planning problems to reduce the computational burden. Numerical simulation tests on the modified energy test systems I39G20 and F213G20 verified the correctness and effectiveness of the proposed flexible resource planning models and solution algorithms. The simulation results show that retrofit of coal-fired units for better flexibility has a higher investment return. Still, energy storage presents a tremendous investment prospect and potential. Finally, the multi-type flexibility resource portfolio allocation method is more cost-effective than an energy storage only approach.