The multivariate-t distribution and the Simes inequality

Henry W. Block, Thomas H. Savits, Jie Wang and Sanat K. Sarkar

Statistics & Probability Letters, 2013, vol. 83, issue 1, 227-232

Abstract: Sarkar (1998) showed that certain positively dependent (MTP2) random variables satisfy the Simes inequality. The multivariate-t distribution does not satisfy this (MTP2) property, so other means are necessary. A corollary was given in Sarkar (1998) to handle this distribution, but there is an error. In this paper a direct proof is given to show the multivariate-t does satisfy the Simes inequality.

Keywords: Multivariate-t distribution; Simes’ inequality; Positive dependence; MTP2 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2012.08.013

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