Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors (Q2365740)
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| Language | Label | Description | Also known as |
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| English | Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors |
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Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors (English)
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29 June 1993
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For Gaussian vectors \((X_ 1,\dots,X_ d)\) and \((Y_ 1,\dots,Y_ d)\) sufficient conditions for \[ E\max(X_ 1,\dots,X_ d)\geq E\max(Y_ 1,\dots,Y_ d)\tag{1} \] can be given in terms of covariances. Inequalities of this type were first obtained by \textit{D. Slepian} [Bell Syst. Tech. J. 41, 463-501 (1962)]. The authors derive sufficient conditions for (1) for the class of \(G\)-type infinitely divisible (ID) random vectors, which includes the class of symmetric stable random vectors with exponent between one and two. The conditions are in terms of the parameters in the canonical representation for these ID random vectors. The analysis is complicated and very technical; apart from the technicalities inherent to ID distributions it involves a relation between stochastic ordering and increasing sets. It makes use of the representation of \(G\)-type ID vectors given by \textit{J. Rosinski} [Ann. Probab. 18, No. 1, 405-430 (1990; Zbl 0701.60004) and Stable processes and related topics, Sel. Pap. Workshop, Ithaca/NY (USA) 1990, Prog. Probab. 25, 27-41 (1991; Zbl 0727.60020)]. Remark: In the middle of page 2 there is a factor 1/2 that I do not understand.
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Slepian inequality
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stability
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stochastic monotonicity
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stable processes
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infinitely divisible random vectors
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