Rectangular and Elliptical Probability Inequalities for Schur-Concave Random Variables
Tong, Y. L.
Ann. Statist., Tome 10 (1982) no. 1, p. 637-642 / Harvested from Project Euclid
It is shown that if the density $f(\mathbf{x})$ of $\mathbf{X} = (X_1, \cdots, X_n)$ is Schur-concave, then (1) $P(|X_i| \leq a_i, i = 1, \cdots, n)$ is a Schur-concave function of $(\phi(a_1), \cdots, \phi(a_n))$, and (2) $P\{\Sigma(X_i/a_i)^2 \leq 1\}$ is a Schur-concave function of $(\phi(a^2_1), \cdots, \phi(a^2_n))$, where $\phi; \lbrack 0, \infty) \rightarrow \lbrack 0, \infty)$ is any increasing and convex function. By letting $\phi(a) = a$, (1) implies that $P(|X_i| \leq a_i, i = 1, \cdots, n) \leq P(|X_i| \leq \bar{a}, i = 1, \cdots, n)$. As special consequences, the results yield bounds for exchangeable normal and $t$ variables and for linear combinations of central and noncentral Chi squared variables.
Publié le : 1982-06-14
Classification:  Probability inequalities in multivariate distributions,  Schur-functions and majorization,  bounds for multivariate normal and $t$ probabilities,  bound for central and noncentral Chi squared probabilities,  62H99,  26D15,  60E15
@article{1176345807,
     author = {Tong, Y. L.},
     title = {Rectangular and Elliptical Probability Inequalities for Schur-Concave Random Variables},
     journal = {Ann. Statist.},
     volume = {10},
     number = {1},
     year = {1982},
     pages = { 637-642},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345807}
}
Tong, Y. L. Rectangular and Elliptical Probability Inequalities for Schur-Concave Random Variables. Ann. Statist., Tome 10 (1982) no. 1, pp.  637-642. http://gdmltest.u-ga.fr/item/1176345807/