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Miscellaneous results related to the Gaussian product inequality conjecture for the joint distribution of traces of Wishart matrices by Christian Genest; Frédéric Ouimet is a Mathematics article available to read on EtoBox.

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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. 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.

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Author

Christian Genest; Frédéric Ouimet

Publisher

Elsevier BV

Published

2023

Language

EN

Field

Mathematics (Physical Sciences)