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Some inequalities for the expectation of a product of functions of a random variable and for the multivariate distribution function at a random point
Author(s) -
Horn M.
Publication year - 1979
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710210305
Subject(s) - mathematics , random variable , probability integral transform , sum of normally distributed random variables , multivariate t distribution , multivariate random variable , statistics , multivariate statistics , product (mathematics) , random function , random variate , multivariate normal distribution , marginal distribution , geometry
Under certain assumptions the expectation of a product of functions of a random variable is greater (smaller) than the product of expectations. The multivariate distribution function of m independent random variables at a random point is greater than the product of the distribution functions of the m variables.