Inequalities for probability contents of convex sets via geometric average

DOI10.1016/0047-259X(88)90043-7MaRDI QIDQ1100797zbMATH OpenOpenAlexFDO

Authors Y. L. Tong, Moshe Shaked

Publication date 1988

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(88)90043-7

zbMATH Keywords

elliptically contoured distributionspeakednesspermutation-invariant convex setscale parameter families

Mathematics Subject Classification ID

Inequalities for sums, series and integrals (26D15) Convex sets in (2) dimensions (including convex curves) (52A10) Geometric probability and stochastic geometry (60D05) Inequalities; stochastic orderings (60E15) Multivariate analysis (62H99)

Review text

It is shown that: If \((X_ 1,X_ 2)\) is a permutation-invariant central convex unimodal random vector and if A is a symmetric (about 0), permutation-invariant convex set then \(P\{(aX_ 1,X_ 2/a)\in A\}\) is non-decreasing as a varies from \(0+\) to 1, and is nonincreasing as a varies from 1 to \(\infty\) (that is, \(P\{(a_ 1X_ 1,a_ 2X_ 2)\in A\}\) is a Schur-concave function of (log \(a_ 1,\log a_ 2))\). Some extensions of this result for the n-dimensional case are discussed. Applications are given for elliptically contoured distributions and scale parameter families.

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Cites work

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(11)

• Some recent developments on majorization inequalities in probability and statistics
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• Some stochastic inequalities for weighted sums
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• Mean value inequalities for convex and star-shaped sets
• Recurring mean inequality of random variables

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