Decreasing-density conjecture for quantile mixtures

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Let nn be a positive integer, let F=(F1,…,Fn)∈MDn\boldsymbol{F}=(F_1,\dots,F_n)\in\mathcal M_D^n, and let Λ∈Qn\Lambda\in\mathcal Q_n. Write Λ⊗F\Lambda\otimes\boldsymbol{F} for the corresponding mixture of the marginal distributions, and let Dn(F)\mathcal D_n(\boldsymbol{F}) denote the set of distributions generated by quantile mixtures from F\boldsymbol{F}. The notation FλF^\lambda denotes the distribution obtained by scaling the quantile function of FF by λ\lambda, γ≺λ\boldsymbol\gamma\prec\boldsymbol\lambda denotes majorization, and Δn\Delta_n is the simplex of weight vectors.

Decreasing-density conjecture. For Λ∈Qn\Lambda\in\mathcal Q_n and F∈MDn\boldsymbol{F}\in\mathcal M_D^n, one has

Dn(F)⊂Dn(Λ⊗F).\mathcal D_n(\boldsymbol{F})\subset\mathcal D_n(\Lambda\otimes\boldsymbol{F}).

The following are weaker versions:

  1. For F∈MDF\in\mathcal M_D and λ,γ∈R+n\boldsymbol\lambda,\boldsymbol\gamma\in\mathbb R_+^n, if γ≺λ\boldsymbol\gamma\prec\boldsymbol\lambda, then
Dn(Fλ1,…,Fλn)⊂Dn(Fγ1,…,Fγn).\mathcal D_n(F^{\lambda_1},\dots,F^{\lambda_n})\subset\mathcal D_n(F^{\gamma_1},\dots,F^{\gamma_n}).
  1. For F1,…,Fn∈MDF_1,\dots,F_n\in\mathcal M_D,
Dn(F1,…,Fn)⊂Dn(F,…,F),\mathcal D_n(F_1,\dots,F_n)\subset\mathcal D_n(F,\dots,F),

where

F−1=1n∑i=1nFi−1.F^{-1}=\frac{1}{n}\sum_{i=1}^nF_i^{-1}.
  1. For F∈MDF\in\mathcal M_D and (λ1,…,λn)∈Δn(\lambda_1,\dots,\lambda_n)\in\Delta_n,
Dn(Fnλ1,…,Fnλn)⊂Dn(F,…,F).\mathcal D_n(F^{n\lambda_1},\dots,F^{n\lambda_n})\subset\mathcal D_n(F,\dots,F).

These questions arise because quantile-mixture classes are generally not comparable. The paper identifies decreasing densities as a natural setting inspired by the scaling theorem, but does not resolve the conjecture or its weaker forms.

References

Primary source

Yuyu Chen, Peng Liu, Yang Liu and Ruodu Wang, “Ordering and Inequalities for Mixtures on Risk Aggregation”, arXiv:2007.12338 (2021).

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