A note on Slepian’s inequality based on majorization

Ying Ding and Xinsheng Zhang

Statistics & Probability Letters, 2017, vol. 124, issue C, 132-139

Abstract: In this paper, we generalize Slepian’s inequality based on majorization. We obtain some sufficient conditions for ordering results of multivariate normal distributions with different variance vectors and different correlation coefficients. It is shown these conditions are also necessary in some cases.

Keywords: Slepian’s inequality; Majorization; Multivariate normal distribution (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.01.010

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