= Gaussian correlation inequality
{wiki=Gaussian_correlation_inequality}
The Gaussian correlation inequality is a result concerning the behavior of Gaussian random variables and their correlations. Specifically, it states that if \\( X_1 \\) and \\( X_2 \\) are two jointly distributed Gaussian random variables with the same variance, then their correlation satisfies a specific property regarding their joint distribution. Formally, if \\( X_1 \\) and \\( X_2 \\) are standard normal random variables (i.e.
Back to article page
