Strengthened Chernoff-type variance bounds

DOI10.3150/12-BEJ484MaRDI QIDQ2444666zbMATH OpenFDO

Authors G. Afendras, N. Papadatos

Publication date 10 April 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.1754, https://projecteuclid.org/euclid.bj/1390407288

zbMATH Keywords

Chernoff-type variance boundsderivativesintegrated Pearson familyRodrigues polynomials

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: Let $X$ be an absolutely continuous random variable from the integrated Pearson family and assume that $X$ has finite moments of any order. Using some properties of the associated orthonormal polynomial system, we provide a class of strengthened Chernoff-type variance bounds.

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Cited in

(9)

• Chernoff-type inequality and variance bounds
• Some Stein-type inequalities for multivariate elliptical distributions and applications
• A Better Bound on the Variance
• Unified extension of variance bounds for integrated Pearson family
• Maximal correlation in a non-diagonal case
• On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
• How a probabilistic analogue of the mean value theorem yields stein-type covariance identities
• Orthogonal polynomials in the cumulative Ord family and its application to variance bounds
• On infinite covariance expansions

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