Covariance matrix inequalities for functions of Beta random variables

Zhengyuan Wei and Xinsheng Zhang

Statistics & Probability Letters, 2009, vol. 79, issue 7, 873-879

Abstract: Based on Jacobi polynomial series expansion and some innovative definitions of high-order differential matrix, we derive lower and upper bounds on covariance matrix for multivariate functions of Beta random variables in the sense of Loewner ordering for matrices. Additionally, corresponding univariate results obtained conveniently along the line of our arguments.

Date: 2009
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