The Gaussian product inequality for disjoint principal minors of Wishart matrices

From papers

Let pNp\in\mathbb{N}, let α(p1,)\alpha\in(p-1,\infty), and let ΣS++p\Sigma\in\mathcal{S}_{++}^p. Let XWp(α,Σ)\mathfrak{X}\sim\mathcal{W}_p(\alpha,\Sigma) be a p×pp\times p Wishart random matrix, partitioned into blocks (Xij)1i,jd(\mathfrak{X}_{ij})_{1\leq i,j\leq d}, where block Xij\mathfrak{X}_{ij} has size pi×pjp_i\times p_j and p1++pd=pp_1+\cdots+p_d=p. Wishart principal-minor Gaussian product inequality. For every ν1,,νd[0,)\nu_1,\ldots,\nu_d\in[0,\infty),

E(X11ν1Xddνd)E(X11ν1)E(Xddνd).\mathsf{E}\left(|\mathfrak{X}_{11}|^{\nu_1}\cdots|\mathfrak{X}_{dd}|^{\nu_d}\right)\geq\mathsf{E}\left(|\mathfrak{X}_{11}|^{\nu_1}\right)\cdots\mathsf{E}\left(|\mathfrak{X}_{dd}|^{\nu_d}\right).

This is the paper's new conjecture, motivated by results for traces and determinants of disjoint diagonal blocks of Wishart matrices. It is stated as a natural extension to blocks of arbitrary widths; no proof or resolution is supplied.

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Primary source

Christian Genest, Frédéric Ouimet and Donald Richards, “On the Gaussian product inequality conjecture for disjoint principal minors of Wishart random matrices”, arXiv:2311.00202 (2024).

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