A Gaussian Correlation Inequality and its Applications to Small Ball Probabilities

Wenbo V. Li (University of Delaware)

Abstract


We present a Gaussian correlation inequality which is closely related to a result of Schechtman, Schlumprecht and Zinn (1998) on the well-known Gaussian correlation conjecture. The usefulness of the inequality is demonstrated by several important applications to the estimates of small ball probability.

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Pages: 111-118

Publication Date: September 29, 1999

DOI: 10.1214/ECP.v4-1012

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