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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