Abstract
Suppose you observe a finite sequence of random variables from some known joint distribution F, you can stop the process at any time and your profit is the last observed value. If an optimal stopping rule is used, denote the expected profit by VF. What kind of ordering on multivariate distributions F and G will guarantee VF≤VG? The comparison depends on two combined aspects: the actual size of the observations and the structure of their dependence. Closely related to these comparisons is the prophet inequality which compares VF to the expectation of the maximum of the sequence which is a prophet's value. We study monotonicity properties of VF and related prophet inequalities in two classes of distributions: one consisting of negatively dependent PF2 variables and the other of samples with partial replacement from a finite population.
Original language | English |
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Pages (from-to) | 104-114 |
Number of pages | 11 |
Journal | Journal of Multivariate Analysis |
Volume | 37 |
Issue number | 1 |
DOIs | |
State | Published - Apr 1991 |
Externally published | Yes |
Keywords
- negative dependence
- optimal stopping
- ordering of random variables
- PF distributions
- prophet inequality
- random replacement schemes