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The multivariate-t distribution and the Simes inequality

Listed author(s):
  • Block, Henry W.
  • Savits, Thomas H.
  • Wang, Jie
  • Sarkar, Sanat K.
Registered author(s):

    Sarkar (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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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 83 (2013)
    Issue (Month): 1 ()
    Pages: 227-232

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    Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:227-232
    DOI: 10.1016/j.spl.2012.08.013
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    1. Sampson, Allan R., 1983. "Positive dependence properties of elliptically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 375-381, June.
    2. 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.
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