et X=(X1,...,Xn )' have a multivariate normal distribution with mean μ and covariance matrix Σ. In the case μ=0, Karlin and Rinott[6] obtained a necessary and sufficient condition on Σ for |X|=(|X1|,...,|Xn|)&...et X=(X1,...,Xn )' have a multivariate normal distribution with mean μ and covariance matrix Σ. In the case μ=0, Karlin and Rinott[6] obtained a necessary and sufficient condition on Σ for |X|=(|X1|,...,|Xn|)' to be MTP2. In this paper we consider the case μ≠0, and give some conditions under which |X| is MTP2. A necessary and sufficient condition is given for |X| to be TP2 when n=2 and μ≠0. Some results about the TP2 stochastic ordering are also given. The results are applied to obtain positive dependence and associated inequalities for multinormal and related distributions.展开更多
基金Supported by the NNSF of China(Grant No.:10171093)the National 973 Fundamental Research Program on Financial Engineering(Grant No:G1998030418)the Doctoral Program Foundation of Institute of High Education.
文摘et X=(X1,...,Xn )' have a multivariate normal distribution with mean μ and covariance matrix Σ. In the case μ=0, Karlin and Rinott[6] obtained a necessary and sufficient condition on Σ for |X|=(|X1|,...,|Xn|)' to be MTP2. In this paper we consider the case μ≠0, and give some conditions under which |X| is MTP2. A necessary and sufficient condition is given for |X| to be TP2 when n=2 and μ≠0. Some results about the TP2 stochastic ordering are also given. The results are applied to obtain positive dependence and associated inequalities for multinormal and related distributions.
