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Far East Journal of Theoretical Statistics

Far East Journal of Theoretical Statistics
Volume 48, Issue 2, Pages 139 - 145 (August 2014)

A SIMPLE PROOF OF THE GAUSSIAN CORRELATION CONJECTURE EXTENDED TO SOME MULTIVARIATE GAMMA DISTRIBUTIONS

Thomas Royen

Abstract:

An extension of the Gaussian correlation conjecture (GCC) is proved for multivariate gamma distributions (in the sense of Krishnamoorthy and Parthasarathy). The classical GCC for Gaussian probability measures is obtained by the special case with an integer degree of freedom

Keywords and phrases:

probability inequalities, Gaussian correlation conjecture, multivariate gamma distribution.

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P-ISSN: 0972-0863

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