On Multivariate Normal Probabilities of Rectangles: Their Dependence on Correlations

Abstract

For a random vector (X1,⋯, Xk) having a k-variate normal distribution with zero mean values, Slepian [16] has proved that the probability $P\{X_1 < c_1,\cdots, X_k < c_k\}$ is a non-decreasing function of correlations. The present paper deals with the "two-sided" analogue of this problem, namely, if also the probability $P\{|X_1| < c_1,\cdots, |X_k| < c_k\}$ is a non-decreasing function of correlations. It is shown that this is true in the important special case where the correlations are of the form λiλjρij, {ρij} being some fixed correlation matrix (Section 1), and that it is true locally in the case of equicorrelated variables (Section 3). However, some counterexamples are offered showing that a complete analogue of Slepian's result does not hold in general (Section 4). Some applications of the main positive result are mentioned briefly (Section 2).