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A combinatorial proof of the Gaussian product inequality beyond the MTP2{}_2 case

Dependence Modeling (DM), 2021
Abstract

A combinatorial proof of the Gaussian product inequality (GPI) is given under the assumption that each component of a centered Gaussian random vector X=(X1,,Xd)\boldsymbol{X} = (X_1, \ldots, X_d) of arbitrary length can be written as a linear combination, with coefficients of identical sign, of the components of a standard Gaussian random vector. This condition on X\boldsymbol{X} is shown to be strictly weaker than the assumption that the density of the random vector (X1,,Xd)(|X_1|, \ldots, |X_d|) is multivariate totally positive of order 22, abbreviated MTP2{}_2, for which the GPI is already known to hold. Under this condition, the paper highlights a new link between the GPI and the monotonicity of a certain ratio of gamma functions.

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