Unified extension of variance bounds for integrated Pearson family

DOI10.1007/S10463-012-0388-3zbMATH Open1280.62020arXiv1110.0090OpenAlexW2043259493MaRDI QIDQ379993FDOQ379993

Authors: G. Afendras 

Publication date: 11 November 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Abstract: We use some properties of orthogonal polynomials to provide a class of upper/lower variance bounds for a function $g(X)$ of an absolutely continuous random variable $X$, in terms of the derivatives of $g$ up to some order. The new bounds are better than the existing ones.

Full work available at URL: https://arxiv.org/abs/1110.0090

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zbMATH Keywords

Fourier coefficientscompletenessorthogonal polynomialsvariance boundsRodrigues-type formuladerivatives of higher orderParseval identityPearson family of distributions

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10)

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Cited In (5)

• New bounds for the mean and the variance
• An extended Stein-type covariance identity for the Pearson family with applications to lower variance bounds
• Strengthened Chernoff-type variance bounds
• Orthogonal polynomials in the cumulative Ord family and its application to variance bounds
• First-order covariance inequalities via Stein's method

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