Gaussian comparison conjecture for maxima under variance and increment domination
Gaussian comparison conjecture for maxima under variance and increment domination
Let and be -dimensional Gaussian vectors with common mean and covariance matrices and , whose entries are and , respectively. Define
Let denote the median of , namely the value satisfying . Suppose that for every and for every . For any , Gaussian comparison conjecture. There is a comparison bound of the form
Under these assumptions, the Sudakov--Fernique inequality gives only the expectation comparison ; 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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