Elliptically Contoured Distributions
نویسنده
چکیده
Given two covar iance matrices R and S for a given elliptically con toured distribution, we show how simple inequalities between the matr ix elements imply that ER(f)< Es(f), e.g., when x = (xil,i ...... i,) is a mult i index vector and f ( x ) = rain max rain max. . .xi l ..... i,, i l i2 i3 or f(x) is the indicator funct ion of sets such as (3 U N U...rx, ...... ~._-<;o, ..... ,~ i l i2 i3
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