Maximizing the expected range from dependent observations under mean-variance information

DOI10.1080/02331888.2015.1074234MaRDI QIDQ5739685zbMATH OpenOpenAlexFDO

Authors N. Papadatos

Publication date 19 July 2016

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.6884

zbMATH Keywords

characterizationsdependent observationsextremal random vectorsprobability matricesrangetight expectation bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) Order statistics; empirical distribution functions (62G30)

Abstract: In this article we derive the best possible upper bound for $E[max{X}_i-mi{n}_i{X}_i]$ under given means and variances on $n$ random variables $X_i$. The random vector $(X_1,\mathrm{...},X_n)$ is allowed to have any dependence structure, provided $E{X}_i=m{u}_i$ and $Var{X}_i=sigm{a}_i^2$, $0<sigm{a}_i<infty$. We provide an explicit characterization of the $n$-variate distributions that attain the equality (extremal random vectors), and the tight bound is compared to other existing results. Key words and phrases: Range; Dependent Observations; Tight Expectation Bounds; Extremal Random Vectors; Probability Matrices; Characterizations.

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Cited in

(1)

• On q-order statistics

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