A Probability Inequality for Convolutions of MTP2-Distribution Functions
| Autor: | Royen, Thomas |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | A probability inequality is proved for n-fold convolutions of a smooth cumulative distribution function on (0,infinity)x...x(0,infinity), which is multivariate totally positive of order 2 (MTP2). This inequality is better than an inequality of the same type as the Gaussian correlation inequality for distribution functions. An important example are some multivariate chi-square distributions, derived from the diagonal of a Wishart matrix. Comment: 3 pages |
| Databáze: | arXiv |
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