A simple extension of Slepian's inequality is given which implies the original inequality and the result that positively correlated normal random variables are associated. Extensions to elliptically contoured distributions are given.
Publié le : 1983-05-14
Classification:
Normal variables,
association,
Slepian's inequality,
elliptically contoured distribution,
62H05,
62N05
@article{1176993610,
author = {Joag-Dev, Kumar and Perlman, Michael D. and Pitt, Loren D.},
title = {Association of Normal Random Variables and Slepian's Inequality},
journal = {Ann. Probab.},
volume = {11},
number = {4},
year = {1983},
pages = { 451-455},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993610}
}
Joag-Dev, Kumar; Perlman, Michael D.; Pitt, Loren D. Association of Normal Random Variables and Slepian's Inequality. Ann. Probab., Tome 11 (1983) no. 4, pp. 451-455. http://gdmltest.u-ga.fr/item/1176993610/