Positive dependence properties of conditionally independent random lifetimes

Citation
M. Shaked et F. Spizzichino, Positive dependence properties of conditionally independent random lifetimes, MATH OPER R, 23(4), 1998, pp. 944-959
Citations number
16
Categorie Soggetti
Mathematics
Journal title
MATHEMATICS OF OPERATIONS RESEARCH
ISSN journal
0364765X → ACNP
Volume
23
Issue
4
Year of publication
1998
Pages
944 - 959
Database
ISI
SICI code
0364-765X(199811)23:4<944:PDPOCI>2.0.ZU;2-3
Abstract
Conditions under which conditionally independent random variables are posit ive dependent are described in this paper. For example, it is shown that if the conditionally independent random variables increase in the hazard rate sense in the condition, then they are WBF (weakened by failures). It is al so shown that if the conditionally independent random variables increase in the likelihood ratio sense in the condition, then they are MTP2 (multivari ate totally positive of order 2). The results are given for the cases in wh ich the condition is either a random variable or a random vector. Some appl ications in the areas of imperfect repair, budget allocation, random enviro nments, and discrete-time filtering, illustrate the theory.