Every random variable satisfies a certain nontrivial integrability condition (Q2507703): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
(One intermediate revision by one other user not shown) | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.spl.2006.04.002 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2119531329 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Chebyshev-type inequalities for scale mixtures / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Probability Inequalities Related to Markov's Theorem / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Characterizing the rate of convergence in the central limit theorem / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5578180 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4327561 / rank | |||
Normal rank |
Latest revision as of 21:20, 24 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Every random variable satisfies a certain nontrivial integrability condition |
scientific article |
Statements
Every random variable satisfies a certain nontrivial integrability condition (English)
0 references
5 October 2006
0 references
The note draws attention on suitable properties of random variables satisfying a certain nontrivial integrability condition. Let \(F\) be the set of nonnegative and nondecreasing functions defined on \([0, \infty)\). Let \(G\) be the subset of \(F\) consisting of those functions \(g \geq 1\) such that \(g(x) \to \infty\) as \(x\to\infty\), and \(g(x) / x\) is nonincreasing on \((0, \infty)\). The main result of this article is stated by the following: Theorem 1. Let \(X\) be an arbitrary real-valued random variable and \(f \in F\). Assume that \(0 < Ef(|X|) <\infty\). Then, there exists \(g \in G\) such that \(Ef(|X|) \leq Ef(|X|)g(|X|) < \infty\). Refinements of this general property provide effective stronger results in connection with Mar\-kov's inequality and the central limit theorem. For instance, the general form of Markov's inequality provides the upper bound: \[ P(|X| \geq r) \leq Ef(|X|) / f(r),\quad r > 0, \tag{1} \] whenever \(f \in F\) satisfies \(Ef(|X|) < \infty\) and \(f(r) > 0, r > 0\). Theorem 1 above entails the following more general result: for \(f \in F\) satisfying the classical Markov's inequality, there is a further function \(g \in G\) with \(Ef(|X|)g(|X|) < \infty\) which provides the estimate: \[ P(|X| \geq r) \leq Ef(|X|)g(|X|) / f(r)g(r),\quad r> 0. \tag{2} \] Since \(g(r) \to \infty\) as \(r \to \infty\), the rate of convergence in the generalized Markov inequality (2) is strictly better than that in (1).
0 references
properties of random variables
0 references
Markov inequality
0 references
central limit theorem
0 references
generalized Markov inequality
0 references