Confidence regions for means of multivariate normal distributions and a non-symmetric correlation inequality for gaussian measure

Abstract

Let $μ$ be a Gaussian measure (say, on ${\bf R}^n$) and let $K, L \subset {\bf R}^n$ be such that K is convex, $L$ is a &#34;layer&#34; (i.e. $L = \{x : a \leq < x,u > \leq b \}$ for some $a$, $b \in {\bf R}$ and $u \in {\bf R}^n$) and the centers of mass (with respect to $μ$) of $K$ and $L$ coincide. Then $μ(K \cap L) \geq μ(K) \cdot μ(L)$. This is motivated by the well-known &#34;positive correlation conjecture&#34; for symmetric sets and a related inequality of Sidak concerning confidence regions for means of multivariate normal distributions. The proof uses an apparently hitherto unknown estimate for the (standard) Gaussian cumulative distribution function: $Φ(x) > 1 - \frac{(8/π)^{1/2}}{3x + (x^2 +8)^{1/2}} e^{-x^2/2}$ (valid for $x > -1$).