The multivariate-t distribution and the Simes inequality

Sarkar (1998) showed that certain positively dependent (MTP2) random variables satisfy the Simes inequality. The multivariate-t distribution does not satisfy this (MTP2) property, so other means are necessary. A corollary was given in Sarkar (1998) to handle this distribution, but there is an error. In this paper a direct proof is given to show the multivariate-t does satisfy the Simes inequality.

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Year of publication:	2013
Authors:	Block, Henry W. ; Savits, Thomas H. ; Wang, Jie ; Sarkar, Sanat K.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 227-232
Publisher:	Elsevier
Subject:	Multivariate-t distribution \| Simes’ inequality \| Positive dependence \| MTP2

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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