Some inequalities for symmetric convex sets with applications (Q1816571)

In short, this paper is an extension and application of another inequality of the author [Proc. Am. Math. Soc. 6, 170-176 (1955; Zbl 0066.37402)] that is well-known and may be interpreted as indicating the effect on the probability of a convex set, symmetric about the origin, of a change in the location parameter of a symmetric unimodal density. A probability density \(f({\mathbf y})\) on \(\mathbb{R}^p\) for which the set \(\{{\mathbf y}\mid f({\mathbf y})\geq u\}\) is convex for every \(u\), \(0<u<\infty\), is called unimodal; if in addition \(f({\mathbf y})=f(-{\mathbf y})\), the density is called symmetric unimodal. The main result concludes that under appropriate conditions the probability of a convex set, symmetric about the origin, decreases as the spread or scatter of a symmetric unimodal density increases. This result, in turn, is shown to be useful in establishing the monotonicity of power functions of tests concerning covariance matrices in normal distributions. The inequalities that are obtained for integrals of symmetric unimodal densities over symmetric convex sets are based on inequalities that are proved for volumes of such sets. The latter are of interest on their own.