Exact Rosenthal-type bounds

DOI10.1214/14-AOP942zbMATH Open1336.60033arXiv1304.4609OpenAlexW3103629380MaRDI QIDQ888535FDOQ888535

Authors: Iosif Pinelis 

Publication date: 30 October 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: It is shown that, for any given $pge5$, $A>0$ and $B>0$, the exact upper bound on $mathsfE|sum{X}_i{|}^p$ over all independent zero-mean random variables (r.v.'s) $X_1,ldots,X_n$ such that $summathsfE{X}_i^2=B$ and $summathsfE|X_i{|}^p=A$ equals $c^{p}mathsfE|P{i}_{lambda}-lambda{|}^p$, where $(lambda,c)in(0,infty{)}^2$ is the unique solution to the system of equations $c^{p}lambda=A$ and $c^{2}lambda=B$, and $P{i}_{lambda}$ is a Poisson r.v. with mean $lambda$. In fact, a more general result is obtained, as well as other related ones. As a tool used in the proof, a calculus of variations of moments of infinitely divisible distributions with respect to variations of the L'{e}vy characteristics is developed.

Full work available at URL: https://arxiv.org/abs/1304.4609

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zbMATH Keywords

infinitely divisible distributionscalculus of variationsprobability inequalitiessums of independent random variablesRosenthal inequalitybounds on momentsLévy characteristics

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15)

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Cited In (14)

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• Rosenthal-Type Inequalities for Martingales in 2-Smooth Banach Spaces
• Rosenthal type inequalities for random variables

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