Best Constants in Moment Inequalities for Linear Combinations of Independent and Exchangeable Random Variables
Johnson, W. B.
Ann. Probab., Tome 13 (1985) no. 4, p. 234-253 / Harvested from Project Euclid
In [4] Rosenthal proved the following generalization of Khintchine's inequality: \begin{equation*} \tag{B} \begin{cases} \max \{ \| \sigma^n_{i=1} X_i \|_2, (\sigma^n_{i=1} \| X_i \|^p_p)^{1/p}\} \\ \leq \| \sigma^n_{i=1} X_i \|_p \leq B_p\max \{ \| \sigma^n_{i=1} X_i \|_2, (\sigma^n_{i-i} \| X_i \|^p_p)^{1/p}\} \\ \text{for all independent symmetric random variables} X_1, X_2,\cdots, \text{with finite} pth \text{moment}, 2 < p < \infty.\end{cases}\end{equation*} Rosenthal's proof of (B) as well as later proofs of more general results by Burkholder [1] yielded only exponential of $p$ estimates for the growth rate of $B_p$ as $p \rightarrow \infty$. The main result of this paper is that the actual growth rate of $B_p$ as $p \rightarrow \infty$ is $p/\operatorname{Log} p$, as compared with a growth rate of $\sqrt p$ in Khintchine's inequality.
Publié le : 1985-02-14
Classification:  Rosenthal $X_p$-inequality,  exchangeable,  60E15,  60G50,  60G42
@article{1176993078,
     author = {Johnson, W. B.},
     title = {Best Constants in Moment Inequalities for Linear Combinations of Independent and Exchangeable Random Variables},
     journal = {Ann. Probab.},
     volume = {13},
     number = {4},
     year = {1985},
     pages = { 234-253},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993078}
}
Johnson, W. B. Best Constants in Moment Inequalities for Linear Combinations of Independent and Exchangeable Random Variables. Ann. Probab., Tome 13 (1985) no. 4, pp.  234-253. http://gdmltest.u-ga.fr/item/1176993078/