Mathematics
3 years ago

New study reveals positive dependence in multivariate normal distribution variables.

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Journal of the American Statistical Association
Product Inequalities Involving the Multivariate Normal Distribution
Richard L Dykstra

Paper Summary

The article discusses how certain conditions can ensure that chi-squared random variables from a multivariate normal distribution are always positively dependent and nonnegatively correlated. This has implications for creating conservative simultaneous confidence regions in a multivariate regression setting.

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