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Inequalities for Gaussian random variables under Archimedean copula dependence

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Abstract

In this paper, we investigate two inequalities based on majorization for two random vectors with different Gaussian marginals and the same underlying Archimedean copulas. The established inequalities generalize well-known results by Slepian.

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Acknowledgements

This research is supported by the Provincial Natural Science Research Project of Anhui Colleges (No. KJ2017ZD27), Anhui Provincial Natural Science Foundation (No. 1808085MA03), Anhui science and technology innovation strategy and soft science research project (No. 1706a02020010), and the Ph.D. research startup foundation of Anhui Normal University (No. 2014bsqdjj34).

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Authors and Affiliations

  1. Department of Mathematics and Statistics, Anhui Normal University, Wuhu, 241000, People’s Republic of China

    Longxiang Fang & Wenyu Huang

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  1. Longxiang Fang
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  2. Wenyu Huang
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Correspondence to Longxiang Fang.

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Fang, L., Huang, W. Inequalities for Gaussian random variables under Archimedean copula dependence. Metrika 83, 617–625 (2020). https://doi.org/10.1007/s00184-019-00748-z

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