Inequalities for Gaussian random variables under Archimedean copula dependence

Longxiang Fang () and Wenyu Huang
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Longxiang Fang: Anhui Normal University
Wenyu Huang: Anhui Normal University

Metrika: International Journal for Theoretical and Applied Statistics, 2020, vol. 83, issue 5, No 5, 617-625

Abstract: Abstract In this paper, we investigate two inequalities based on majorization for two random vectors with different Gaussian marginals and the same underlying Archimedean copulas. The established inequalities generalize well-known results by Slepian.

Keywords: Slepian’s inequality; Gaussian random vectors; Majorization; Schur-convex; Archimedean copula; 60E15; 62G30 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00184-019-00748-z

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