Concentration inequalities for multivariate distributions. I: Multivariate normal distributions

DOI10.1016/0167-7152(91)90004-BMaRDI QIDQ1186631zbMATH OpenOpenAlexFDO

Authors Morris L. Eaton, Michael D. Perlman

Publication date 28 June 1992

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(91)90004-b

zbMATH Keywords

convex setsconvolution inequalitiescounterexamplescovariance matricesefficiency comparisonsgroup of orthogonal transformationsinvariancemultivariate concentration inequalitiesnon-convex setsp-variate normal distributionpositive definite covariance matrixprobabilities of multivariate regionssymmetry condition

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Foundations and philosophical topics in statistics (62A01) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• A Spherical Surface Measure Inequality for Convex Sets
• Concentration inequalities for Gauss-Markov estimators
• Concentration inequalities for multivariate distributions. II: Elliptically contoured distributions
• Generating O(n) with reflections
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• scientific article; zbMATH DE number 3400223 (Why is no real title available?)
• Inequalities: theory of majorization and its applications
• Invariant normal models
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• Reflection groups, generalized Schur functions, and the geometry of majorization
• The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
• The integral of an invariant unimodal function over an invariant convex set—an inequality and applications

Cited in

(12)

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• Median balls: An extension of the interquantile intervals to multivariate distributions
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• Schur\(^2\)-concavity properties of Gaussian measures, with applications to hypotheses testing
• scientific article; zbMATH DE number 125961 (Why is no real title available?)
• Shape optimal design criterion in linear models

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