Teheranchi's strong Gaussian correlation conjecture for Gaussian rectangles

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Let X1,…,XnX_1,\dots, X_n be zero-mean jointly Gaussian real random variables, and let s1,…,sn,t1,…,tn∈[0,∞)∪{∞}s_1,\dots, s_n, t_1,\dots, t_n \in [0,\infty)\cup \{\infty\}. Teheranchi's strong Gaussian correlation conjecture.

Pr⁡(∣Xi∣≤si+ti ∀i∈[n])Pr⁡(∣Xi∣≤min⁡{si,ti} ∀i∈[n])≥Pr⁡(∣Xi∣≤si ∀i∈[n])Pr⁡(∣Xi∣≤ti ∀i∈[n]).\begin{aligned} \Pr(|X_i|\le s_i+t_i \ \forall i\in [n])&\Pr(|X_i|\le \min\{s_i,t_i\} \ \forall i\in [n])\\ &\ge \Pr(|X_i|\le s_i \ \forall i\in [n])\Pr(|X_i|\le t_i \ \forall i\in [n]). \end{aligned}

This conjecture strengthens the Gaussian correlation inequality and is equivalent to a conjecture of Teheranchi. The paper proves special cases and shows that an asymptotic version would imply the conjecture in every dimension; the general statement remains open.

References

Primary source

Rotem Assouline, Arnon Chor and Shay Sadovsky, “A refinement of the Šidák-Khatri inequality and a strong Gaussian correlation conjecture”, arXiv:2407.15684 (2024).

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