Realizable monotonicity and inverse probability transform

Abstract

A system (P_a: a in A) of probability measures on a common state space S indexed by another index set A can be ``realized'' by a system (X_a: a in A) of S-valued random variables on some probability space in such a way that each X_a is distributed as P_a. Assuming that A and S are both partially ordered, we may ask when the system (P_a: a in A) can be realized by a system (X_a: a in A) with the monotonicity property that X_a <= X_b almost surely whenever a <= b. When such a realization is possible, we call the system (P_a: a in A) ``realizably monotone.'' Such a system necessarily is stochastically monotone, that is, satisfies P_a <= P_b in stochastic ordering whenever a <= b. In general, stochastic monotonicity is not sufficient for realizable monotonicity. However, for some particular choices of partial orderings in a finite state setting, these two notions of monotonicity are equivalent. We develop an inverse probability transform for a certain broad class of posets S, and use it to explicitly construct a system (X_a: a in A) realizing the monotonicity of a stochastically monotone system when the two notions of monotonicity are equivalent.