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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 24, Fasc. 1,
pages 17 - 26
 

A NOTE ON SOME INEQUALITIES FOR CERTAIN CLASSES OF POSITIVELY DEPENDENT RANDOM VARIABLES

Przemysław Matuła

Abstract: We prove an inequality for the difference between a joint distribution and the product of its marginals for certain classes of positively dependent random variables. Some multivariate extensions are also discussed.

2000 AMS Mathematics Subject Classification: Primary 60E15, 62H20, 62G30.

Key words and phrases: Positive dependence, copula, covariance.

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