A new generalized inequality for covariance in N dimensions

0500419 - ÚFP 2019 RIV GB eng J - Journal Article
Liu, M. - Šindelka, Milan - Lin, S.
A new generalized inequality for covariance in N dimensions.
Mathematical Problems in Engineering. Roč. 2019, č. 1 (2019), č. článku 6963493. ISSN 1024-123X. E-ISSN 1563-5147
Institutional support: RVO:61389021
Keywords : covariance * inequality * N-dimensional random variable * multivariate statistics
OECD category: Statistics and probability
Impact factor: 1.009, year: 2019
https://www.hindawi.com/journals/mpe/2019/6963493/

Inspired by the work of Zhefei He and Mingjin Wang which was published in the Journal of Inequalities and Applications in 2015, this paper further generalizes some related results to the case of multidimensional random variables. The resulting inequality for covariance is then applied to different multidimensional statistical distributions (multiuniform, multinomial, and multinormal). Coordinate dependence of the inequality is also examined. The obtained formulas could be useful for making estimates in multivariate statistics.
Permanent Link: http://hdl.handle.net/11104/0292498