Chapter 7. Bounds for weighted sums of Random Variables
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1 Chpter 7. Bouds for weghted sums of Rdom Vrbles 7. Itroducto Let d 2 be two depedet rdom vrbles hvg commo dstrbuto fucto. Htczeko (998 d Hu d L (2000 vestgted the Rylegh dstrbuto d obted some results bout the Schur-cocvty of dstrbuto fucto of weghted sum of two rdom vrbles. Hu d L ( b exteded the prevous results for the geerlzed gmm dstrbuto d the geerlzed Rylegh dstrbuto. Yu (20 compred weghted sums of..d. postve rdom vrbles ccordg to the usul stochstc order. The m equltes re derved by usg mjorzto techques uder cert log-cocvty ssumptos. My results bout lkelhood rto orderg d orderg propertes of covoluto of some dstrbuto fuctos hve ppered the lterture for exmple Fthmesh d Khled (2008 hve cosdered these for geerlzed Rylegh rdom vrbles d Zho d Blkrsh ( hve studed these propertes for heterogeeous expoetl d geometrc rdom vrbles d heterogeeous Erlg d Pscl rdom vrbles d the Chpter two Chpter three d Chpter fve of ths thess. 92
2 Bouds for weghted sum of Rdom Vrbles I ths chpter we study some stochstc equltes for the weghted sums of depedet rdom vrbles. Weghted sums of depedet ch squre vrbles rse turlly multvrte sttstcs s qudrtc forms orml vrbles. Stochstc comprsos betwee such weghted sums re therefore sttstclly terestg d c led to bouds o the dstrbuto fuctos. Suppose the compoet lfetmes of redudt stdby system (wthout reprg re modeled by scle fmly of dstrbutos. The the totl lfetme s of the form. Whe the s re..d. expoetl vrbles Bo d Plte (999 hve obted comprsos of the totl lfetme wth respect to severl stochstc orders For the usul stochstc order smlr results hold for brod clss of dstrbutos cludg the commoly used gmm Webull d log-orml dstrbutos. Whe s re..d. expoetl vrbles d the qutty E(log( ppers cert wreless commuctos problems (Jorsweck d Boche (2007. By the mootocty of log( x we hve st b E (log( E (log( b. I the ext secto we compre weghted sums of..d. postve rdom vrbles ccordg to the usul stochstc order. The m equltes re derved usg mjorzto techques. 7.2 Stochstc order of weghted sum We use the followg theorem of Yu (20. Theorem 7. (Yu (20. Let... be..d. rdom vrbles wth desty fucto f ( x 93
3 Bouds for weghted sum of Rdom Vrbles If f x (e s log-cocve (or log( hvg log-cocve desty x the for ech t 0 P( t s Schur-cocve fucto of log( (log(...log(. Equvletly f b the log( log( b b. (7. st Let p f such tht the fucto p x f x p m 02 log log ( hs log-cocve desty x or equvletly f p... p hs log-cocve desty x the for ech fucto of t 0 P( t s Schur-covex q q q (... where p q. Equvletly f b the q q b b st. (7.2 If... hs log-cocve desty tht s symmetrc bout zero o the P( t s Schur-cocve fucto of. Equvletly f b the 94
4 Bouds for weghted sum of Rdom Vrbles b b. (7.3 st Remrk 7.. By usg the Theorem 7. we c fd the bouds o the dstrbuto fucto of terms of the dstrbuto fucto of. Let ( the log( = log( d hece log( lo g( where (... (... d ow usg (7. we obt. (7.4 st Now let ( q q q the q q where (... d By usg (7.2 (... st. (7.5 From (7.4 d (7.5 we get 95
5 Bouds for weghted sum of Rdom Vrbles. (7.6 P( t P( t P( t The equlty (7. holds for ech of the followg dstrbutos; ( Uform o the tervl (0 s s 0 ; (2 gmm( 0 ; (3 Ay log-orml dstrbuto; (4 The Webull dstrbuto wth prmeter k 0 whose desty s k x f ( x kx e x 0; k (5 The geerlzed Rylegh dstrbuto wth prmeter 0 For the bove dstrbutos d for ( the equlty P ( x t P ( x t holds. The equlty ( 7.2 holds for the followg dstrbutos where p d p q ( Webull dstrbuto wth prmeter k ; (2 pq 2 d geerlzed Rylegh vrble ; I these cses equlty (7.6 holds. 96
6 Bouds for weghted sum of Rdom Vrbles Next we obt the boud for survvl fucto of for the bove dstrbuto frst we cosder weghted sum of geerlzed Rylegh rdom vrbles. 7.3 Bouds for weghted sum of geerlzed Rylegh rdom vrbles Below we obt bouds for the survvl fucto of weghted sum of Rylegh rdom vrbles. Theorem 7.2. Let... be oegtve depedet rdom vrbles from dstrbuto fucto GRE( umbers..... d let... be sequeces of rel The the followg bouds for the survvl fucto of S( hold: t t P( P( t P( t P( t P( t P( t P(. Proof. Let GRE( by prevous studes we hve below stochstc orderg for
7 Bouds for weghted sum of Rdom Vrbles Hu d L (2000 cosdered the problem of stochstc comprsos of covolutos of depedet geerlzed Rylegh rdom vrbles d showed tht for fxed st (... (.... (7.7 Fthmesh d Khled (2008 showed tht for fxed lr st (... (... (. (7.8 Usg Chpter fve we hve the reltos (... (... (... ( ( lr st (7.9 o the other hd; (... ( ( st... (.... (7.0 Let 2 d the survvl fucto of ; ( 2 the we hve followg bouds for ( st hr st b ( st hr c st. d st ( hr st (7. 98
8 Bouds for weghted sum of Rdom Vrbles Now by usg Remrk 7. we c obt the followg boud wth respect to ch mjorzto. Let GRE(... d let... be sequeces of rel umbers. By ( 7.6 the bouds for the survvl fucto of ( q q re x where ( d. (7.2 ( ( ( P t P t P t By usg (7. we get t t P( P( t P(. (7.3 Smlrly from (7.b d (7.c t P( t P( (7.4 d t P( t P(. ( Bouds for weghted sum of gmm rdom vrbles Let... be depedet rdom vrbles from gmm dstrbuto fuctos wth prmeters d.... From Chpter two for fxed we hve 99
9 Bouds for weghted sum of Rdom Vrbles lr hr s t ( 2 ( hr st d for fxed 3 lr hr s t ( 4 ( lr hr st. For dfferet s ( d s 5 ( lr hr st 6 ( lr hr st 7 ( hr st 8 ( hr st. Let ( the from (7.4 for the gmm dstrbuto. st By usg (7.4 d bove relto we c fd the useful boud for survvl fucto of weghted sum of gmm rdom vrble defferet cses for exmple 00
10 Bouds for weghted sum of Rdom Vrbles For fxed usg prt d 2 of the bove reltos the followg boud for the survvl fucto of c be obted by tkg : (7.6 st st d by tkg (. (7.7 st st For fxed usg prt 3 d 4 the followg boud for the survvl fucto of c be obted by lettg : (7.8 st st d by lettg (. (7.9 st st I the geerl cse for dfferet s ( d s s by prt fve to eght the followg boud for survvl fucto of c be obted by tkg d (7.20 st st by tkg usg ( d : 0
11 Bouds for weghted sum of Rdom Vrbles (7.2 st st by tkg d ( (7.22 st st d by tkg ( d (. (7.23 st st Exmple 7.. Suppose stdby system comprses of 8 compoet. Let Gmm (...8 be the lfe-tme of the th compoet. Let (... 8 re dexes of mportce of the compoet. The vector of the scles d shpe prmeters d the vector re gve the followg tble Tble 7.. The vector of the scles d shpe prmeters d wegh Ex we hve d ( ( Cse. from (
12 Bouds for weghted sum of Rdom Vrbles st. We obt the followg lower bouds for the survvl fucto of S( ths cse the followg tble. Tble 7.2 Lower boud for weghted sum of gmm r.v. ccordg to Cse. x PS ( ( x Cse 2. Smlrly to Cse from ( st d lower bouds for the survvl fucto of S( ths cse re: Tble 7.3. Lower boud for weghted sum of gmm r.v. ccordg to Cse 2. x PS ( ( x Cse 3. From ( st d lower bouds for the survvl fucto of S( ths cse re: Tble 7.4. Lower boud for weghted sum of gmm r.v. ccordg to Cse 3. x PS ( ( x
13 Bouds for weghted sum of Rdom Vrbles Cse 4. From ( st d lower bouds for the survvl fucto of S( ths cse re: Tble 7.5. Lower boud for weghted sum of gmm r.v. ccordg to Cse 4. x PS ( ( x Wth comprg the Tble 7.2 Tble 7.3 Tble 7.4 d Tble 7.5 t s cler tht boud for survvl fucto of S( Cse 4 s the shrpest. I ths cse bouds re term of by (the hrmoc me of the s d (the geometrc me of the s. If the shpe (scle prmeter of the gmm dstrbuto ws fxed we c use the other reltos to obt the bouds. I the sme mer we c fd smlr bouds for the survvl fucto of weghted sum of rdom vrbles wth other dstrbutos. 04
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