MathOverflow is a question and answer site for professional mathematicians. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I am currently investigating the property of random sequences with a special marginal distribution function $F(x)$. Given any random sequence $X_1, X_2, \cdots, X_n$, supposing their joint distribution is unknown but each of them follows the same marginal distribution $F(x)$, I want to prove that an inequality $H(\frac{1}{n-1}\sum_{i=1}^{n-1} E(X_iX_{i+1}))>0$ holds when $n \rightarrow \infty$.

Here is the strategy that I have tried. Supposing $ Y_1, Y_2, \cdots, Y_n $ are individually and identically distributed random variables with distribution function $F(x)$, they can be sorted in an increasing order to form order statistics $Y_{(1)} \leq Y_{(2)} \leq \cdots \leq Y_{(n)}$. Rearranging these order statistics to $Y_{\sigma(1)}, Y_{\sigma(2)}, \cdots, Y_{\sigma(n)}$ by a permutation $\sigma$, I can prove that $$ H(\frac{1}{n-1} \sum_{i=1}^{n-1} E(Y_{\sigma(i)} Y_{\sigma(i+1)})) > 0 $$ holds for any permutation $\sigma$ when $n \rightarrow \infty$.

Now can I use this result to prove that $H>0$ holds for any sequence of random variables with marginal $F(x)$ when $n \rightarrow \infty$ ? If so, could anyone offer some hint on how to do this? I guess copula theory can be used which I am not very familiar with.

share|cite|improve this question
What does H stand for? – an12 Oct 16 '12 at 15:10
Also asked on math.SE – Dilip Sarwate Oct 16 '12 at 16:30

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.