Some Applications of Covariance Identities and Inequalities to Functions of Multivariate Normal Variables
协方差恒等式与不等式在多元正态变量函数中的应用
We apply general covariance identities and inequalities to some functions of multivariate normal variables. We recover, in particular, a recent covariance identity due to Siegel and provide simple estimates on the variance of order statistics. We also present some computations.