Nonsymmetric examples for Gaussian correlation inequalities

DOI10.1016/J.SPL.2023.109885zbMATH Open1523.60041arXiv2110.11641OpenAlexW4379793276MaRDI QIDQ6178686FDOQ6178686

Authors: Chien-Hao Huang 

Publication date: 4 September 2023

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

Abstract: In this paper, we compare two variances of maxima of $N$ standard Gaussian random variables. One is a sequence of $N$ i.i.d. standard Gaussians, and the other one is $N$ standard Gaussians with covariances $sigm{a}_{1,2}=hoin(0,1)$ and $sigm{a}_{i,j}=0$, for other $ieqj$. It turns out that we need to discuss the covariance of two functions with respect to multivariate Gaussian distributions. Gaussian correlation inequalities hold for many symmetric (with respect to the origin) cases. However, in our case, the max function and its derivatives are not symmetric about the origin. We have two main results in this paper. First, we prove a specific case for a convex/log-concave correlation inequality for the standard multivariate Gaussian distribution. The other result is that the variance of maxima of standard Gaussians with $sigm{a}_{1,2}=hoin(0,1)$, while $sigm{a}_{i,j}=0$, for other $ieqj$, is larger than the variance of maxima of independent standard Gaussians. This implies that the variance of maxima of $N$ i.i.d. standard Gaussians is decreasing in $N$.

Full work available at URL: https://arxiv.org/abs/2110.11641

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zbMATH Keywords

Gaussian measurelog-concavitymaximanonsymmetric correlation inequality

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cites Work

• Extremes and related properties of random sequences and processes
• Random Fields and Geometry
• Selected aspects of fractional Brownian motion.
• A simple proof of the Gaussian correlation conjecture extended to some multivariate gamma distributions
• A nonsymmetric correlation inequality for Gaussian measure
• Directed polymers in random environments. École d'Été de Probabilités de Saint-Flour XLVI -- 2016
• A convex/log-concave correlation inequality for Gaussian measure and an application to abstract Wiener spaces
• Royen’s Proof of the Gaussian Correlation Inequality

Cited In (1)

• A note on Gaussian correlation inequalities for nonsymmetric sets

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