Unified extension of variance bounds for integrated Pearson family

DOI10.1007/S10463-012-0388-3MaRDI QIDQ379993zbMATH OpenOpenAlexFDO

Authors G. Afendras

Publication date 11 November 2013

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

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

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)

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.

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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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