On Cox-Kemperman moment inequalities for independent centered random variables

DOI10.1016/J.SPL.2013.12.005MaRDI QIDQ2452782zbMATH OpenOpenAlexFDO

Authors P. S. Ruzankin

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.1007

zbMATH Keywords

centered random variableCox-Kemperman inequalitiesmoment inequalitiessymmetric random variabletwo-point distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: In 1983 Cox and Kemperman proved that $Ef(xi)+Ef(eta)leEf(xi+eta)$ for all functions $f$, such that $f(0)=0$ and the second derivative $f^{″}(y)$ is convex, and all independent centered random variables $xi$ and $eta$ satisfying certain moment restrictions. We show that the minimal moment restrictions are sufficient for the inequality to be valid, and write out a less restrictive condition on $f$ for the inequality to hold. Besides, Cox and Kemperman (1983) found out the optimal constants $A_{h}o$ and $B_{h}o$ for the inequalities $A_{h}o(E|xi{|}^{h}o+E|eta{|}^{h}o)leE|xi+eta{|}^{h}ole{B}_{h}o(E|xi{|}^{h}o+E|eta{|}^{h}o)$, where $hoge1$, $xi$ and $eta$ are independent centered random variables. We write out similar sharp inequalities for symmetric random variables.

Recommendations

• scientific article; zbMATH DE number 16739
• On inequalities for moments and the covariance of monotone functions
• Moment inequalities for functions of independent random variables
• scientific article; zbMATH DE number 3927987
• scientific article; zbMATH DE number 4138873

Cites work

• Extremal properties of Rademacher functions with applications to the Khintchine and Rosenthal inequalities
• scientific article; zbMATH DE number 3927987 (Why is no real title available?)
• scientific article; zbMATH DE number 3236476 (Why is no real title available?)
• Moment inequalities for sums of dependent random variables under projective conditions
• On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
• Optimal two-value zero-mean disintegration of zero-mean random variables
• Sharp bounds on the absolute moments of a sum of two i.i.d. random variables
• The best constant in the Rosenthal inequality for nonnegative random variables

Cited in

(2)

• A Sharp Inequality for the p-Center of Gravity of a Random Variable
• Sharp Rosenthal‐type inequalities for mixtures and log‐concave variables

This page was built for publication: On Cox-Kemperman moment inequalities for independent centered random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2452782)