A Comparison Inequality for Positively Associated Random Variables

Wednesday, April 29, 2015 - 3:10pm - 4:00pm
Keller 3-180
Partha Dey (University of Illinois at Urbana-Champaign)
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.
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