The Annals of Statistics

An Inequality Comparing Sums and Maxima with Application to Behrens-Fisher Type Problem

Siddhartha R. Dalal and Peter Fortini

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Abstract

A sharp inequality comparing the probability content of the $\ell_1$ ball and that of $\ell_\infty$ ball of the same volume is proved. The result is generalized to bound the probability content of the $\ell_p$ ball for arbitrary $p \geq 1$. Examples of the type of bound include $P\{(|X_1|^p + |X_2|^p)^{1/p} \leq c\} \geq F^2(c/2^{1/2p}),\quad p \geq 1,$ where $X_1, X_2$ are independent each with distribution function $F$. Applications to multiple comparisons in Behrens-Fisher setting are discussed. Multivariate generalizations and generalizations to non-independent and non-exchangeable distributions are also discussed. In the process a majorization result giving the stochastic ordering between $\Sigma a_i X_i$ and $\Sigma b_i X_i$, when $(a^2_1, a^2_2, \cdots, a^2_n)$ majorizes $(b^2_1, b^2_2, \cdots, b^2_n)$, is also proved.

Article information

Source
Ann. Statist., Volume 10, Number 1 (1982), 297-301.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176345712

Digital Object Identifier
doi:10.1214/aos/1176345712

Mathematical Reviews number (MathSciNet)
MR642741

Zentralblatt MATH identifier
0481.62017

JSTOR
links.jstor.org

Subjects
Primary: 62F25: Tolerance and confidence regions
Secondary: 60E15: Inequalities; stochastic orderings

Keywords
Majorization inequality sums of powers multiple comparisons Behrens-Fisher problem

Citation

Dalal, Siddhartha R.; Fortini, Peter. An Inequality Comparing Sums and Maxima with Application to Behrens-Fisher Type Problem. Ann. Statist. 10 (1982), no. 1, 297--301. doi:10.1214/aos/1176345712. https://projecteuclid.org/euclid.aos/1176345712


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