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تسجيل مستخدم جديدSome probability inequalities for multivariate gamma and normal distributions
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Thomas Royen
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The Gaussian correlation inequality for multivariate zero-mean normal probabilities of symmetrical n-rectangles can be considered as an inequality for multivariate gamma distributions (in the sense of Krishnamoorthy and Parthasarathy [5]) with one degree of freedom. Its generalization to all integer degrees of freedom and sufficiently large non-integer degrees of freedom was recently proved in [10]. Here, this inequality is partly extended to smaller non-integer degrees of freedom and in particular - in a weaker form - to all infinitely divisible multivariate gamma distributions. A further monotonicity property - sometimes called more PLOD (positively lower orthant dependent) - for increasing correlations is proved for multivariate gamma distributions with integer or sufficiently large degrees of freedom.
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