Schur^2-concavity properties of Gaussian measures, with applications to hypotheses testing

DOI10.1016/J.JMVA.2013.11.011zbMATH Open1278.62071arXiv1006.0502OpenAlexW2025953454MaRDI QIDQ392103FDOQ392103

Authors: Iosif Pinelis 

Publication date: 13 January 2014

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

Abstract: The main results imply that the probability P(�Zin A+ h) is Schur-concave/Schur-convex in ( h_1^2,dots, h_k^2) provided that the indicator function of a set A in R^k is so, respectively; here, h=( h_1,dots, h_k) in R^k and �Z is a standard normal random vector in R^k. Moreover, it is shown that the Schur-concavity/Schur-convexity is strict unless the set A is equivalent to a spherically symmetric set. Applications to testing hypotheses on multivariate means are given.

Full work available at URL: https://arxiv.org/abs/1006.0502

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zbMATH Keywords

multivariate normal distributionhypothesis testingstochastic orderingmixturesmajorizationprobability inequalitiesasymptotic relative efficiencyGaussian measuresreflection groupsgeometric probabilityasymptotic properties of tests\(p\)-mean testsmultivariate meansSchur convexity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric tests (62F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Inequalities; stochastic orderings (60E15)

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Cited In (4)

• Testing convex hypotheses on the mean of a Gaussian vector. Application to testing qualitative hypotheses on a regression function
• Exact Lower and Upper Bounds for Gaussian Measures
• Consistency of \(p\)-norm based tests in high dimensions: characterization, monotonicity, domination
• Majorization methods on hyperplanes and their applications

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