Miscellaneous results related to the Gaussian product inequality conjecture for the joint distribution of traces of Wishart matrices

This note reports partial results related to the Gaussian product inequality (GPI) conjecture for the joint distribution of traces of Wishart matrices. In particular, several GPI-related results from Wei [32] and Liu et al. [15] are extended in two ways: by replacing the power functions with more ge...

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Veröffentlicht in:Journal of mathematical analysis and applications 2023-07, Vol.523 (1), p.126951, Article 126951
Hauptverfasser: Genest, Christian, Ouimet, Frédéric
Format: Artikel
Sprache:eng
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Zusammenfassung:This note reports partial results related to the Gaussian product inequality (GPI) conjecture for the joint distribution of traces of Wishart matrices. In particular, several GPI-related results from Wei [32] and Liu et al. [15] are extended in two ways: by replacing the power functions with more general classes of functions, and by replacing the usual Gaussian and multivariate gamma distributional assumptions by the more general trace-Wishart distribution assumption. These findings suggest that a Kronecker product form of the GPI holds for diagonal blocks of any Wishart distribution.
ISSN:0022-247X
1096-0813
DOI:10.1016/j.jmaa.2022.126951