A Nonsymmetric Correlation Inequality for Gaussian Measure

Letμbe a Gaussian measure (say, onRⁿ) and letK,LRⁿbe such thatKis convex,Lis a “layer” (i.e.,L={x: ax, ub} for somea, bRanduRⁿ), and the centers of mass (with respect toμ) ofKandLcoincide. Thenμ(K∩L)μ(K)·μ(L). This is motivated by the well-known “positive correlation conjecture” for symmetric sets and a related inequality of Sidak concerning confidence regions for means of multivariate normal distributions. The proof uses the estimateΦ(x)> 1−((8/π)^1/2/(3x+(x²+8)^1/2))e^−x2/2,x>−1, for the (standard) Gaussian cumulative distribution function, which is sharper than the classical inequality of Komatsu.