A Gaussian Inequality for Expected Absolute Products

Wenbo V. Li () and Ang Wei ()
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Wenbo V. Li: University of Delaware
Ang Wei: University of Rochester

Journal of Theoretical Probability, 2012, vol. 25, issue 1, 92-99

Abstract: Abstract We prove the inequality that ${\mathbb{E}}|X_{1}X_{2}\cdots X_{n}|\leq \sqrt{\mathrm{per}(\varSigma )}$ , for any centered Gaussian random variables X 1,…,X n with the covariance matrix Σ, followed by several applications and examples. We also discuss a conjecture on the lower bound of the expectation.

Keywords: Multivariate Gaussian; Permanent; Wick formula; MTP 2 density; 60E15; 62H12 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10959-010-0329-0

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