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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

2 votes

How to demonstrate a correlation inequality?

The inequality does not always hold. Let $D \sim$ Bernoulli$(p)$, independent of $Y$. Let $Y'$ and $Y''$ be two independent copies of $Y$ (also independent of $Y$). Let $X=D Y+(1-D) Y'$ and $Z=DY'' + …
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2 votes
1 answer
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Comparison between $\|X\|_2$ and $\|X\|_{2,1}$

For any real random variable $X$, define $$\|X\|_{2,1}=\int_0^\infty \sqrt{\Pr(|X|>t)}dt.$$ This quantity (it is not a norm) appears in various problems, e.g. the multiplier central limit theorem (see …
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