Slepian's lemma
id:
slepian-s-lemma-294-1732857
title:
Slepian's lemma
text:
In probability theory, Slepian's lemma (1962), named after David Slepian, is a Gaussian comparison inequality. It states that for Gaussian random variables X = and Y = in R n satisfying E [ X ] = E [ Y ] = 0 , the following inequality holds for all real numbers u 1 , … , u n : or equivalently, While this intuitive-seeming result is true for Gaussian processes, it is not in general true for other random variables—not even those with expectation 0. As a corollary, if t ≥ 0 is a centered statio
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https://en.wikipedia.org/wiki/Slepian%27s_lemma
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date modified:
2022-02-17T19:07:09Z
main entity:
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