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Inequalities for Gaussian random variables under Archimedean copula dependence

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  • Longxiang Fang

    (Anhui Normal University)

  • Wenyu Huang

    (Anhui Normal University)

Abstract

In this paper, we investigate two inequalities based on majorization for two random vectors with different Gaussian marginals and the same underlying Archimedean copulas. The established inequalities generalize well-known results by Slepian.

Suggested Citation

  • Longxiang Fang & Wenyu Huang, 2020. "Inequalities for Gaussian random variables under Archimedean copula dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(5), pages 617-625, July.
    • Handle: RePEc:spr:metrik:v:83:y:2020:i:5:d:10.1007_s00184-019-00748-z
    DOI: 10.1007/s00184-019-00748-z
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    References listed on IDEAS

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    1. Li, Xiaohu & Fang, Rui, 2015. "Ordering properties of order statistics from random variables of Archimedean copulas with applications," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 304-320.
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