Gaussian comparison conjecture for maxima under variance and increment domination

Let X=(X1,,Xd)\mathbf{X}=(X_1,\ldots,X_d) and Y=(Y1,,Yd)\mathbf{Y}=(Y_1,\ldots,Y_d) be dd-dimensional Gaussian vectors with common mean μ=(μ1,,μd)\bm{\mu}=(\mu_1,\ldots,\mu_d) and covariance matrices ΣX\Sigma^X and ΣY\Sigma^Y, whose ijij entries are σijX\sigma_{ij}^X and σijY\sigma_{ij}^Y, respectively. Define

γijX=E{(XiXj)2},γijY=E{(YiYj)2}.\gamma_{ij}^X=\mathbb{E}\{(X_i-X_j)^2\},\qquad \gamma_{ij}^Y=\mathbb{E}\{(Y_i-Y_j)^2\}.

Let med(maxiYi)\operatorname{med}(\max_iY_i) denote the median of max1idYi\max_{1\leq i\leq d}Y_i, namely the value aa satisfying Pr(max1idYia)=0.5\Pr(\max_{1\leq i\leq d}Y_i\leq a)=0.5. Suppose that σiiYσiiX\sigma_{ii}^Y\geq\sigma_{ii}^X for every ii and γijYγijX\gamma_{ij}^Y\geq\gamma_{ij}^X for every i,ji,j. For any cmed(maxiYi)c\geq\operatorname{med}(\max_iY_i), Gaussian comparison conjecture. There is a comparison bound of the form

Pr(max1idXic)(?)  Pr(max1idYic).\Pr\left(\max_{1\leq i\leq d}X_i\geq c\right)\leq (?)\;\Pr\left(\max_{1\leq i\leq d}Y_i\geq c\right).

Under these assumptions, the Sudakov--Fernique inequality gives only the expectation comparison E{maxiXi}E{maxiYi}\mathbb{E}\{\max_iX_i\}\leq\mathbb{E}\{\max_iY_i\}; the conjectured tail comparison would yield the desired asymptotic sharp-dominance result for the multivariate one-sided Gaussian-prepivoted test. It is stated to be true in the univariate case, while the multivariate case remains open.

Sources & referencesView supporting material

Primary source

Peter L. Cohen and Colin B. Fogarty, “Gaussian Prepivoting for Finite Population Causal Inference”, arXiv:2002.06654 (2021).

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