Inequalities for Gaussian random variables under Archimedean copula dependence

DOI10.1007/S00184-019-00748-ZMaRDI QIDQ2189752zbMATH OpenOpenAlexWikidataFDO

Authors Longxiang Fang, Wenyu Huang

Publication date 16 June 2020

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-019-00748-z

zbMATH Keywords

Archimedean copulamajorizationSchur-convexGaussian random vectorsSlepian's inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30)

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Cites work

• A note on Slepian's inequality based on majorization
• An introduction to copulas.
• Comparison and anti-concentration bounds for maxima of Gaussian random vectors
• Inequalities: theory of majorization and its applications
• On stochastic orders for order statistics from normal distributions
• Ordering properties of order statistics from random variables of Archimedean copulas with applications
• Random Fields and Geometry
• Slepian's inequality with respect to majorization
• Stochastic comparisons on sample extremes of dependent and heterogenous observations
• Transfer bounds for linear feature learning

Cited in

(3)

• Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima
• Some general results on usual stochastic ordering of the extreme order statistics from dependent random variables under Archimedean copula dependence
• Orderings of extremes from dependent Gaussian variables with Archimedean copula under simple tree order restrictions

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