Non-asymptotic moment bounds for random variables rounded to non-uniformly spaced sets

DOI10.1002/STA4.395arXiv2007.11041OpenAlexW3170475696MaRDI QIDQ6345580FDOQ6345580

Publication date: 21 July 2020

Abstract: We study the effects of rounding on the moments of random variables. Specifically, given a random variable

X

and its rounded counterpart

o p e r a t o r n a m e r d (X)

, we study

| m a t h b b E [X^{k}] - m a t h b b E [o p e r a t o r n a m e r d (X)^{k}] |

for non-negative integer

k

. We consider the case that the rounding function

o p e r a t o r n a m e r d : m a t h b b R o m a t h b b F

corresponds either to (i) rounding to the nearest point in some discrete set

m a t h b b F

or (ii) rounding randomly to either the nearest larger or smaller point in this same set with probabilities proportional to the distances to these points. In both cases, we show, under reasonable assumptions on the density function of

X

, how to compute a constant

C

such that

| m a t h b b E [X^{k}] - m a t h b b E [o p e r a t o r n a m e r d (X)^{k}] | < C e p s i l o n^{2}

, provided

| o p e r a t o r n a m e r d (x) - x | l e q e p s i l o n : E (x)

, where

E : m a t h b b R o m a t h b b R_{g e q 0}

is some fixed positive piecewise linear function. Refined bounds for the absolute moments

m a t h b b E [| X^{k} - o p e r a t o r n a m e r d (X)^{k} |]

are also given.

Full work available at URL: https://doi.org/10.1002/sta4.395

Mathematics Subject Classification ID

Statistics (62-XX)

This page was built for publication: Non-asymptotic moment bounds for random variables rounded to non-uniformly spaced sets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6345580)