A Probability Inequality for Convolutions of MTP2-Distribution Functions
Probability
2025-05-09 v2
Abstract
A probability inequality is proved for n-fold convolutions of a smooth cumulative distribution function on (0,infinity)x...x(0,infinity), which is multivariate totally positive of order 2 (MTP2). This inequality is better than an inequality of the same type as the Gaussian correlation inequality for distribution functions. An important example are some multivariate chi-square distributions, derived from the diagonal of a Wishart matrix.
Keywords
Cite
@article{arxiv.2410.04143,
title = {A Probability Inequality for Convolutions of MTP2-Distribution Functions},
author = {Thomas Royen},
journal= {arXiv preprint arXiv:2410.04143},
year = {2025}
}
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4 pages