Variance inequalities for functions of Gaussian variables (Q1345075): Difference between revisions
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Revision as of 02:24, 14 February 2024
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| English | Variance inequalities for functions of Gaussian variables |
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Variance inequalities for functions of Gaussian variables (English)
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26 February 1995
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The paper starts with the following known inequality: Let \(X\) be a standard normal r.v. and \(G\) an a.c. function, then \(\text{var }G(X) \leq E(G'(X))^ 2\). The authors derive upper and lower bounds for \(\text{var }G(X)\) in terms of higher order derivatives.
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Gaussian random variable
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variance inequality
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characteristic function
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total positivity
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