Title :
Stochastic ordering of extreme value distributions
Author :
Wang, Ganghuai ; Lambert, James H. ; Haimes, Yacov Y.
Author_Institution :
Virginia Univ., Charlottesville, VA, USA
fDate :
11/1/1999 12:00:00 AM
Abstract :
We investigate the second-order stochastic ordering of the extreme value distributions within each of three families: the Gumbel distribution, the Frechet distribution, and the Weibull distribution. We give conditions for second-order stochastic dominance, conditional second-order stochastic dominance, and order statistics second-order stochastic dominance within the three families
Keywords :
Weibull distribution; statistics; Frechet distribution; Gumbel distribution; Weibull distribution; conditional second-order stochastic dominance; extreme value distributions; order statistics second-order stochastic dominance; second-order stochastic ordering; Convergence; Decision making; Parametric statistics; Probability distribution; Random variables; Statistical distributions; Stochastic processes; Systems engineering and theory; Utility theory; Weibull distribution;
Journal_Title :
Systems, Man and Cybernetics, Part A: Systems and Humans, IEEE Transactions on
DOI :
10.1109/3468.798077
