On matrix variance inequalities

DOI10.1016/J.JSPI.2011.05.016MaRDI QIDQ2276194zbMATH OpenOpenAlexFDO

Authors G. Afendras, N. Papadatos

Publication date 1 August 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.5447

zbMATH Keywords

cumulative Ord familyintegrated Pearson familymatrix inequalityquadratic polynomial

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Multivariate distribution of statistics (62H10) Multivariate analysis (62H99)

Abstract: Olkin and Shepp (2005, J. Statist. Plann. Inference, vol. 130, pp. 351--358) presented a matrix form of Chernoff's inequality for Normal and Gamma (univariate) distributions. We extend and generalize this result, proving Poincare-type and Bessel-type inequalities, for matrices of arbitrary order and for a large class of distributions.

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Cites work

• A matrix variance inequality
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• scientific article; zbMATH DE number 1342359 (Why is no real title available?)
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• Matrix variance inequalities for multivariate distributions
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Cited in

(19)

• VAR analysis, nonfundamental representations, Blaschke matrices
• Inequalities associated with intra-inter-class correlation matrices.
• A matrix variance inequality
• On matrix-valued log-concavity and related Prékopa and Brascamp-Lieb inequalities
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• The 123 theorem of probability theory and copositive matrices
• Strengthened Chernoff-type variance bounds
• On Stein identity, Chernoff inequality, and orthogonal polynomials
• A characterization theorem for matrix variances
• Bounds for the Differences of Matrix Means
• scientific article; zbMATH DE number 4026460 (Why is no real title available?)
• scientific article; zbMATH DE number 503471 (Why is no real title available?)
• Dilations, Linear Matrix Inequalities, the Matrix Cube Problem and Beta Distributions
• On infinite covariance expansions
• Some inequalities for central moments of matrices
• Hoffmann-Jørgensen inequalities for random walks on the cone of positive definite matrices
• Matrix variance inequalities for multivariate distributions
• Inequalities for central moments and spreads of matrices
• A matrix version of Chernoff inequality

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