A Comparison Inequality for Positively Associated Random Variables
Presenter
April 29, 2015
Keywords:
- Comparison principles
MSC:
- 35B51
Abstract
We present a general comparison inequality between positively associated and independently distributed random variables, generalizing the Gaussian comparison inequality. The proof uses several combinatorial identities and the property of positive association. We also provide applications where the maxima of correlated r.v.s behaves in the same way as maxima of i.i.d. r.v.s.