An Inversion Formula for Orlicz Norms and Sequences of Random Variables

Abstract: Given an Orlicz function

M

, we show which random variables

x i_{i}

,

i = 1, ..., n

generate the associated Orlicz norm, i.e., which random variables yield

m a t h b b E m a x l i m i t s_{1 l e q i l e q n} | x_{i} x i_{i} | s i m o r m {(x_{i})_{i = 1}^{n}}_{M}

. As a corollary we obtain a representation for the distribution function in terms of

M

and

M^{'}

which can be easily applied to many examples of interest.

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