Exact lower and upper bounds for shifts of Gaussian measures

DOI10.1137/S0040585X97T991088arXiv2205.09266MaRDI QIDQ6399552FDOQ6399552

Publication date: 18 May 2022

Abstract: Exact upper and lower bounds on the ratio

m a t h s f E w (m a t h b f X - m a t h b f v) / m a t h s f E w (m a t h b f X)

for a centered Gaussian random vector

m a t h b f X

in

m a t h b b R^{n}

, as well as bounds on the rate of change of

m a t h s f E w (m a t h b f X - t m a t h b f v)

in

t

, where

w c o l o n m a t h b b R^{n} o [0, i n f t y)

is any even unimodal function and

m a t h b f v

is any vector in

m a t h b b R^{n}

. As a corollary of such results, exact upper and lower bounds on the power function of statistical tests for the mean of a multivariate normal distribution are given.

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

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