A probability inequality for elliptically contoured densities with applications in order restricted inference (Q1086947)

Let f(x) be an elliptically contoured density on \({\mathbb{R}}^ k\), let \(\mu \in {\mathbb{R}}^ k\), and define \(h(\delta)=\int_{A-\delta \mu}f(x)dx\), for real-valued \(\delta\), to be the translate of the integral of f(\(\cdot)\) over A in the direction \(\mu\). For a certain class of asymmetric convex sets A, which includes the closed convex cones, it is shown that h(\(\delta)\) is nonincreasing in \(| \delta |\). This result is then used to establish certain monotonicity properties for the power function in the likelihood ratio test for testing whether or not the mean \(\mu\) of a multivariate normal distribution satisfies a specified ordering.