An Inequality Related to Negative Definite Functions

arXiv1205.1284MaRDI QIDQ6232823FDOQ6232823

Authors: M. A. Lifshits, R. L. Schilling, Ilya Tyurin 

Publication date: 7 May 2012

Abstract: This is a substantially generalized version of the preprint arXiv:1105.4214 by Lifshits and Tyurin. We prove that for any pair of i.i.d. random vectors $X,Y$ in $R^n$ and any real-valued continuous negative definite function $g:R^{n}oR$ the inequality ${\displaystyle }$ E g(X-Y) le E g(X+Y)${\displaystyle }$ holds. In particular, for $ain(0,2]$ and the Euclidean norm $|.|$ one has ${\displaystyle }$ E |X-Y|^a le E |X+Y|^a. ${\displaystyle }$ The latter inequality is due to A. Buja et al. (Ann. Statist., 1994} where it is used for some applications in multivariate statistics. We show a surprising connection with bifractional Brownian motion and provide some related counter-examples.

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)

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