Schur^2-concavity properties of Gaussian measures, with applications to hypotheses testing

Details Schur^2-concavity properties of Gaussian measures, with applications to hypotheses testing Schur^2-concavity properties of Gaussian measures, with applications to hypotheses testing

2010-06-02

arxiv.org/abs/1006.0502v1

Mathematics

Probability

Scientific paper

The main results imply that the probability P(\ZZ\in A+\th) is Schur-concave/Schur-convex in (\th_1^2,\dots,\th_k^2) provided that the indicator function of a set A in \R^k is so, respectively; here, \th=(\th_1,\dots,\th_k) in \R^k and \ZZ is a standard normal random vector in \R^k. Moreover, it is shown that the Schur-concavity/Schur-convexity is strict unless the set A is equivalent to a spherically symmetric set. Applications to testing hypotheses on multivariate means are given.

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