On matrix variance inequalities

Details On matrix variance inequalities On matrix variance inequalities

2011-03-28

arxiv.org/abs/1103.5447v1

Statistics

Methodology

7 pages, submitted for publication

Scientific paper

Olkin and Shepp (2005, J. Statist. Plann. Inference, vol. 130, pp. 351--358)
presented a matrix form of Chernoff's inequality for Normal and Gamma
(univariate) distributions. We extend and generalize this result, proving
Poincare-type and Bessel-type inequalities, for matrices of arbitrary order and
for a large class of distributions.

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