Covariance and comparison inequalities under quadrant dependence (Q343261): Difference between revisions

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Revision as of 23:35, 19 March 2024

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Covariance and comparison inequalities under quadrant dependence
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    Covariance and comparison inequalities under quadrant dependence (English)
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    25 November 2016
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    The authors aim is to establish a number of results on the difference between a distribution of random vectors \([X, Y]\) and \([X', Y']\), where \(X'\) and \(Y'\) are independent and \(X'\) has the same law as \(X\) and \(Y'\) as \(Y\). They give special attention to positively quadrant dependent random variables \(X\) and \(Y\), \(H_{x,y}(t,s):=\operatorname{P}(X\leq t, Y\leq s)-\operatorname{P}(X\leq t)\operatorname{P}(Y\leq S)\geq0\). In this case the bounds \(H_{x,y}(t,s)\) are expressed in terms of Hoeffding covariance of \(X_jY\).
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    covariance
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    positive and negative dependence
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    probabilistic inequalities
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    comparison theorems
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