An extremal property of the normal distribution, with a discrete analog

DOI10.1016/J.SPL.2018.08.018MaRDI QIDQ1726784zbMATH OpenOpenAlexWikidataFDO

Authors Erwan Hillion, Oliver Johnson, Adrien Saumard

Publication date 20 February 2019

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

Full work available at URL https://arxiv.org/abs/1806.05577

zbMATH Keywords

Brascamp-Lieb inequalityChebychev's other inequalitycovariance matrixnormal distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10)

Abstract: We prove, using the Brascamp-Lieb inequality, that the Gaussian measure is the only strong log-concave measure having a strong log-concavity parameter equal to its covariance matrix. We also give a similar characterization of the Poisson measure in the discrete case, using "Chebyshev's other inequality". We briefly discuss how these results relate to Stein and Stein-Chen methods for Gaussian and Poisson approximation, and to the Bakry-Emery calculus.

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Cited in

(4)

• An extremal property of the binomial distribution
• Stability of the Bakry-Émery theorem on \(\mathbb{R}^n\)
• Phase transitions for support recovery under local differential privacy
• Quantifying the effectiveness of linear preconditioning in Markov chain Monte Carlo

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