Inequalities of correlation type for symmetric stable random vectors

A. L. Koldobsky and S. J. Montgomery-Smith

Statistics & Probability Letters, 1996, vol. 28, issue 1, 91-97

Abstract: We point out a certain class of functions f and g for which random variables f(X1, ..., Xm) and g(Xm + 1, ..., Xk) are non-negatively correlated for any symmetric jointly stable random variables Xi. We also show another result that is related to the correlation problem for Gaussian measures of symmetric convex sets.

Keywords: Stable; random; vector; Gaussian; random; vector; Correlation; Fourier; transform; Positive-definite; function; Convex; set (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (2)

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