On matrix variance inequalities |
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| Authors: | G AfendrasN Papadatos |
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| Institution: | Department of Mathematics, Section of Statistics and O.R., University of Athens, Panepistemiopolis, 157 84 Athens, Greece |
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| Abstract: | Olkin and Shepp 2005, A matrix variance inequality. J. Statist. Plann. Inference 130, 351-358] presented a matrix form of Chernoff's inequality for Normal and Gamma (univariate) distributions. We extend and generalize this result, proving Poincaré-type and Bessel-type inequalities, for matrices of arbitrary order and for a large class of distributions. |
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| Keywords: | Integrated Pearson family Cumulative Ord family Quadratic polynomial Matrix inequality |
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