The multivariate-t distribution and the Simes inequality
AbstractSarkar (1998) showed that certain positively dependent (MTP2) random variables satisfy the Simes inequality. The multivariate-t distribution does not satisfy this (MTP2) property, so other means are necessary. A corollary was given in Sarkar (1998) to handle this distribution, but there is an error. In this paper a direct proof is given to show the multivariate-t does satisfy the Simes inequality.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 83 (2013)
Issue (Month): 1 ()
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- Sampson, Allan R., 1983. "Positive dependence properties of elliptically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 375-381, June.
- Block, Henry W. & Savits, Thomas H. & Shaked, Moshe, 1985. "A concept of negative dependence using stochastic ordering," Statistics & Probability Letters, Elsevier, vol. 3(2), pages 81-86, April.
- Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549.
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