When I first created this blog, the subject of my initial post was the Gaussian correlation conjecture. Using to denote the standard n-dimensional Gaussian probability measure, the conjecture states that the inequality
holds for all symmetric convex subsets A and B of . By symmetric, we mean symmetric about the origin, so that is in A if and only is in A, and similarly for B. The standard Gaussian measure by definition has zero mean and covariance matrix equal to the nxn identity matrix, so that
with denoting the Lebesgue integral on . However, if it holds for the standard Gaussian measure, then the inequality can also be shown to hold for any centered (i.e., zero mean) Gaussian measure.
At the time of my original post, the Gaussian correlation conjecture was an unsolved mathematical problem, originally arising in the 1950s and formulated in its modern form in the 1970s. However, in the period since that post, the conjecture has been solved! A proof was published by Thomas Royen in 2014 . This seems to have taken some time to come to the notice of much of the mathematical community. In December 2015, Rafał Latała, and Dariusz Matlak published a simplified version of Royen’s proof . Although the original proof by Royen was already simple enough, it did consider a generalisation of the conjecture to a kind of multivariate gamma distribution. The exposition by Latała and Matlak ignores this generality and adds in some intermediate lemmas in order to improve readability and accessibility. Since then, the result has become widely known and, recently, has even been reported in the popular press [10,11]. There is an interesting article on Royen’s discovery of his proof at Quanta Magazine  including the background information that Royen was a 67 year old German retiree who supposedly came up with the idea while brushing his teeth one morning. Dick Lipton and Ken Regan have recently written about the history and eventual solution of the conjecture on their blog . As it has now been shown to be true, I will stop referring to the result as a `conjecture’ and, instead, use the common alternative name — the Gaussian correlation inequality.
In this post, I will describe some equivalent formulations of the Gaussian correlation inequality, or GCI for short, before describing a general method of attacking this problem which has worked for earlier proofs of special cases. I will then describe Royen’s proof and we will see that it uses the same ideas, but with some key differences. Continue reading “The Gaussian Correlation Inequality”