# Correlation inequalities

Correlation between variables in multivariate statistics (cf. also Multi-dimensional statistical analysis) [a19] has motivated classes of inequalities on subsets of a base set $S$ that are referred to as correlation inequalities. They are often stated deterministically but usually have probabilistic interpretations. For example, suppose $S$ is the family of all subsets of a finite set $\{ 1 \dots n \}$, and let $A$ and $B$ be order ideals or down-sets in $( S, \subset )$: $a \subset b \in A$ implies $a \in A$, $a \subset b \in B$ implies $a \in B$, with $A, B \subseteq S$. Then, [a13], [a16], $2 ^ {n} | {A \cap B } | \geq | A | \cdot | B |$. When $\mu$ is the uniform probability measure (cf. also Probability measure) on $2 ^ {S}$, so that $\mu ( a ) = \mu ( \{ a \} ) = 2 ^ {- n }$ for every $a \in S$, and $\mu ( A ) = | A | 2 ^ {- n }$, one has $\mu ( A \cap B ) \geq \mu ( A ) \mu ( B )$. Hence, with respect to $\mu$, $A$ and $B$ are correlated whenever both are down-sets.

As general definitions, one says with respect to a probability measure $\mu$ on an algebra ${\mathcal E}$ of subsets of $S$ that $A, B \in {\mathcal E}$ are positively correlated if $\mu ( A \cap B ) > \mu ( A ) \mu ( B )$ and non-negatively correlated if $\mu ( A \cap B ) \geq \mu ( A ) \mu ( B )$. Inequality reversals define negative correlation and non-positive correlation, respectively. The instances of these inequalities and generalizations described below assume that $S$ is a finite set partially ordered by $\prec$ so that $\prec$ is irreflexive (never $a \prec a$) and transitive: $a \prec b$ and $b \prec c$ imply $a \prec c$.

## Inequalities for distributive lattices.

Let $( S, \prec )$ be a distributive lattice with join $a \lor b$ and meet $a \wedge b$ defined by

$$a \lor b = \min \left \{ {z \in S } : {a \cle z, b \cle z } \right \} ,$$

$$a \wedge b = \max \left \{ {z \in S } : {z \cle a, z \cle b } \right \} .$$

Distributivity says that $a \wedge ( b \lor c ) = ( a \wedge b ) \lor ( a \wedge c )$ for all $a,b,c \in S$. A mapping $f : S \rightarrow \mathbf R$ is non-decreasing if $a \prec b$ implies $f ( a ) \leq f ( b )$ for all $a,b \in S$, and $f ( A )$ is defined as $\sum _ {a \in A } f ( a )$ for $A \subseteq S$, with $f ( \emptyset ) = 0$. The join and meet $\lor$ and $\wedge$ can be extended to subsets $A, B \subseteq S$ by

$$A \lor B = \left \{ {a \lor b } : {a \in A, b \in B } \right \} ,$$

$$A \wedge B = \left \{ {a \wedge b } : {a \in A, b \in B } \right \} ,$$

with the understanding that $A \lor B = A \wedge B = \emptyset$ if $A$ or $B$ is empty.

The pre-eminent correlation inequality is the Ahlswede–Daykin inequality [a1], also called the four-functions inequality [a2]. It says that if ${f _ {1} , f _ {2} , f _ {3} , f _ {4} } : S \rightarrow {[ 0, \infty ) }$ satisfy

$$f _ {1} ( a ) f _ {2} ( b ) \leq f _ {3} ( a \lor b ) f _ {4} ( a \wedge b ) \textrm{ for all } a, b \in S,$$

then

$$f _ {1} ( A ) f _ {2} ( B ) \leq f _ {3} ( A \lor B ) f _ {4} ( A \wedge B ) \textrm{ for all } A, B \subseteq S .$$

This is a very powerful result that allows efficient proofs of many other correlation inequalities [a2], [a7], [a10], [a23]. One unusual application [a8] concerns match sets of orders of a deck of $52$ cards numbered $1$ through $52$. For each order, $M = \{ k : {\textrm{ card } k \textrm{ is the } k \textrm{ th card at the top of the deck } } \}$. Let $A = \{ M : {\textrm{ an even } k \in M } \}$ and $B = \{ M : {\textrm{ an odd } k \in M } \}$. When $\mu$ is the uniform distribution on the $52!$ orders, $\mu ( A \cap B ) \geq \mu ( A ) \mu ( B )$. Hence, if the match set of a well-shuffled deck contains an odd number, this can only increase our confidence that it contains an even number.

The most important correlation inequality historically is the FKG inequality [a9] (also known as the Fortuin–Kasteleyn–Ginibre inequality), which says that if $\eta : S \rightarrow {[ 0, \infty ) }$ is log supermodular, i.e.,

$$\eta ( a ) \eta ( b ) \leq \eta ( a \lor b ) \eta ( a \wedge b ) \textrm{ for all } a,b \in S,$$

and if $f : S \rightarrow \mathbf R$ and $g : S \rightarrow \mathbf R$ are non-decreasing, then

$$\left [ \sum _ { S } \eta ( a ) f ( a ) \right ] \left [ \sum _ { S } \eta ( a ) g ( a ) \right ] \leq$$

$$\leq \left [ \sum _ { S } \eta ( a ) \right ] \left [ \sum _ { S } \eta ( a ) f ( a ) g ( a ) \right ] .$$

This can be written in terms of the mathematical expectation operation ${\mathsf E} _ \eta$ as ${\mathsf E} _ \eta ( f ) {\mathsf E} _ \eta ( g ) \leq {\mathsf E} _ \eta ( fg )$, when $S$ is a Boolean algebra and $\eta$ is a log supermodular probability measure with $\lor = \cup$ and $\wedge = \cap$. Suitable definitions of $f$ and $g$ with $\{ 0,1 \}$ co-domains show that $A, B \subseteq S$ are non-negatively correlated when both are up-sets or order filters, given log supermodularity.

Another notable result is the Holley inequality [a12]. Suppose ${\eta _ {1} } : S \rightarrow {[ 0, \infty ) }$ and ${\eta _ {2} } : S \rightarrow {[ 0, \infty ) }$ satisfy $\sum _ {S} \eta _ {1} ( a ) = \sum _ {S} \eta _ {2} ( a )$ along with the following inequality that generalizes log supermodularity and is itself generalized by the four-function Ahlswede–Daykin hypothesis:

$$\eta _ {1} ( a ) \eta _ {2} ( b ) \leq \eta _ {1} ( a \lor b ) \eta _ {2} ( a \wedge b ) \textrm{ for all } a,b \in S .$$

Then the Holley inequality says that for every non-decreasing $f : S \rightarrow \mathbf R$,

$$\sum _ { S } f ( a ) \eta _ {1} ( a ) \geq \sum _ { S } f ( a ) \eta _ {2} ( a ) .$$

Simple proofs of the FKG and Holley inequalities follow from the Ahlswede–Daykin inequality by suitable choices of $f _ {1}$ through $f _ {4}$. Also, when $f _ {i} = \eta$ for all $i$, log supermodularity on $S$ implies log supermodularity on the subsets of $S$; when $f _ {i} \equiv 1$ for all $i$, one obtains $| A | \cdot | B | \leq | {A \lor B } | \cdot | {A \wedge B } |$ for all $A,B \subseteq S$, which is equivalent to distributivity [a5] for an ordered lattice $( S, \prec )$.

## Systems of subsets.

Several inequalities for $( S, \subset )$ when $S$ is the family of subsets of $\{ 1 \dots n \}$ have already been given. Log supermodularity for a probability measure $\mu$ on $2 ^ {S}$ is defined as $\mu ( a ) \mu ( b ) \leq \mu ( a \cup b ) \mu ( a \cap b )$ for all $a,b \in S$, and when this holds, the FKG inequality says that ${\mathsf E} _ \mu ( f ) {\mathsf E} _ \mu ( g ) \leq {\mathsf E} _ \mu ( fg )$ for non-decreasing $f : S \rightarrow \mathbf R$ and $g : S \rightarrow \mathbf R$ and implies that $\mu ( A ) \mu ( B ) \leq \mu ( A \lor B ) \mu ( A \wedge B )$ for all $A,B \subseteq S$. In addition, if $A$ and $B$ are down-sets or up-sets, then $\mu ( A \cap B ) \geq \mu ( A ) \mu ( B )$. When $\mu$ is uniform, in which case log supermodularity is automatic, $2 ^ {n} | {A \cap B } | \leq | A | \cdot | B |$ if $A$ is an up-set and $B$ is a down-set, so the two are non-positively correlated when the complementary orientations obtain.

Another inequality involves set differences [a14]. Let $A - B = \{ {a \setminus b } : {a \in A, b \in B } \}$ for $A, B \subseteq S$. Then $| {A - B } | \cdot | {B - A } | \geq | A | \cdot | B |$, and, in particular, $| {A - A } | \geq | A |$.

The match set of a permutation $\sigma$ on $\{ 1 \dots n \}$ is defined as $M ( \sigma ) = \{ {i \in \{ 1 \dots n \} } : {\sigma ( i ) = i } \}$. Assuming that all $n!$ permutations are equally likely, let $\mu ( a )$ for $a \subseteq \{ 1 \dots n \}$ be the probability that $M ( \sigma ) = a$. Note that $\mu ( a ) = 0$ when $| a | = n - 1$ and hence that $\mu$ is not log supermodular. However, there still is an FKG-like inequality [a8], because $\mu ( A \cap B ) \geq \mu ( A ) \mu ( B )$ whenever $A,B \subseteq S$ are up-sets. This illustrates the non-necessity of log supermodularity in certain cases for a correlation inequality to hold.

## Linear extensions.

Another class of correlation inequalities arises when $S$ is the set of linear extensions of a finite partially ordered set $( X, \prec )$ and all members of $S$ are equally likely. $( X, < _ {0} )$ is a linear extension of $( X, \prec )$ if $( X, < _ {0} )$ is a partially ordered set, $\prec \subseteq < _ {0}$ and, for all distinct $x,y \in X$, $x < _ {0} y$ or $y < _ {0} x$. Let $N$ be the number of linear extensions of $( X, \prec )$, so the probability law for $S$ is $\mu ( a ) = 1/N$. By additivity, $\mu ( A ) = \sum _ {A} \mu ( a )$ for each subset $A$ of linear extensions.

A premier correlation inequality in this setting is the Fishburn–Shepp inequality [a6], [a18], also known as the $xyz$ inequality. One says that $x,y \in X$ are incomparable if $x \neq y$ and neither $x \prec y$ nor $y \prec x$, and denotes by $( x _ {1} < _ {0} y _ {1} \dots x _ {m} < _ {0} y _ {m} )$ the set of all linear extensions of $( X, \prec )$ that satisfy the $x _ {i} < _ {0} y _ {i}$ relations. The Fishburn–Shepp inequality says that if $x$, $y$ and $z$ are mutually incomparable in $( X, \prec )$, then

$$\mu ( x < _ {0} y ) \mu ( x < _ {0} z ) < \mu ( x < _ {0} y, x < _ {0} z ) ,$$

so events $A = ( x < _ {0} y )$ and $B = ( x < _ {0} z )$ are positively correlated. Rewritten as $\mu ( A \cap B ) / \mu ( A ) > \mu ( B )$, one sees that the probability of $x < _ {0} z$ in a randomly chosen linear extension increases when it is true also that $x < _ {0} y$. Examples in [a10], [a17], [a18] show that other plausible positive or non-negative correlations need not be true.

Inequalities involving two-part partitions of $X$ are featured in [a11], [a17]. Suppose $\{ X _ {1} , X _ {2} \}$ is a non-trivial partition of $X$. Let $A = ( a _ {1} < _ {0} b _ {1} \dots a _ {j} < _ {0} b _ {j} )$ and $B = ( c _ {1} < _ {0} d _ {1} \dots c _ {k} < _ {0} d _ {k} )$ for $a _ {i} , c _ {i} \in X _ {1}$ and $b _ {i} , d _ {i} \in X _ {2}$. If the restriction of $\prec$ in $( X, \prec )$ to each $X _ {i}$ is a linear order (cf. also Order (on a set)), then $A$ and $B$ are non-negatively correlated, i.e. $\mu ( A \cap B ) \geq \mu ( A ) \mu ( B )$. The same is true if $\prec = \prec _ {1} \cup \prec _ {2}$, where $\prec _ {i}$ is a partial order on $X _ {i}$.

Other inequalities which use two ordering relations on a fixed $Y \subseteq X$ that are associated with $\prec$ are in [a3], [a4], [a7], [a22], [a23]. One of these, [a3], shows that the plausible inequality

$$\mu ( x < _ {0} y < _ {0} z < _ {0} w ) \leq \mu ( x < _ {0} y < _ {0} z ) \mu ( z < _ {0} w ) ,$$

which is suggested by the non-strict rendering $\mu ( x < _ {0} y < _ {0} z ) \leq \mu ( x < _ {0} y ) \mu ( y < _ {0} z )$ of the Fishburn–Shepp inequality, can be contradicted whenever $n \geq 5$.

## An inequality from percolation theory.

A final inequality comes from percolation theory [a20], [a21] and provides a nice contrast to the FKG inequality version $| A | \cdot | B | \leq 2 ^ {n} | {A \cap B } |$ when $A$ and $B$ are up-sets in the family of subsets of $\{ 1 \dots n \}$. For convenience, the subsets of $\{ 1 \dots n \}$ are written in characteristic vector form, so that $S = \{ 0, 1 \} ^ {n}$. The cylinder set determined by $x \in S$ and $K \subseteq \{ 1 \dots n \}$ is defined as

$$c ( x, K ) = \left \{ {y \in S } : {y _ {j} = x _ {j} \textrm{ for all } j \in K } \right \} ,$$

and the disjoint intersection of $A, B \subseteq S$ is defined by

$$A \square B = \left \{ {x \in S } : c ( x, K ) \subseteq A,\right .$$

$$\left . c ( x, \{ 1 \dots n \} \setminus K ) \subseteq B \textrm{ for some } K \right \} .$$

The inequality, conjectured in [a20], [a21] and proved in [a15], is

$$2 ^ {n} \left | {A \square B } \right | \leq \left | A \right | \cdot \left | B \right | \textrm{ for all } A, B \subseteq S .$$

Thus, whereas some $A, B \subseteq S$ are positively correlated by the usual definition based on $A \cap B$, all $A, B \subseteq S$ are "non-positively correlated" with respect to the disjoint intersection $A \square B$.

How to Cite This Entry:
Correlation inequalities. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Correlation_inequalities&oldid=46525
This article was adapted from an original article by P.C. Fishburn (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article