A proof of the strong Gaussian product inequality conjecture

Abstract

Let $\boldsymbol{X} = (X_1,\ldots,X_n)$ be a centered Gaussian vector, not necessarily nondegenerate. It is proved that, for every $\alpha_1,\ldots,\alpha_n>0$, \[ \mathsf{E}\left[\prod_{i=1}^n |X_i|^{\alpha_i}\right] \geq \prod_{i=1}^n \mathsf{E}\left[|X_i|^{\alpha_i}\right]. \] When all marginal variances are positive, equality holds if and only if the coordinates are independent. This settles Frenkel's 18-year-old Gaussian product inequality (GPI) conjecture and, in fact, its later strengthening to arbitrary positive exponents. Through Frenkel's hafnian formulation, this result also provides a short proof of the 28-year-old real linear polarization constant conjecture, which was settled this year as a consequence of the strong polarization inequality. The main result leads to the exact real linear polarization constant, a sharp weighted product inequality for real linear functionals, spherical moment bounds, hafnian inequalities for positive-semidefinite matrices together with complete characterizations of their equality cases, logarithmic variance and covariance inequalities, a R\'enyi total-correlation certificate, and unconditional versions of mixed-sign Gaussian moment bounds previously conditional on the positive-exponent GPI.