Moment Inequalities for the Maximum Cumulative Sum
Serfling, R. J.
Ann. Math. Statist., Tome 41 (1970) no. 6, p. 1227-1234 / Harvested from Project Euclid
Assume $E(X_i) \equiv 0$. For $\nu \geqq 2$, bounds on the $\nu$th moment of $\max_{1 \leqq k \leqq n}|\sum^{a + k}_{a + 1} X_i|$ are deduced from assumed bounds on the $\nu$th moment of $|\sum^{a + n}_{a + 1} X_i|$. The inequality due to Rademacher-Mensov for $\nu = 2$ and orthogonal $X_i$'s is generalized to $\nu \geqq 2$ and other types of dependent $\operatorname{rv's}.$ In the case $\nu > 2$, a second result is obtained which is considerably stronger than the first for asymptotic applications.
Publié le : 1970-08-14
Classification: 
@article{1177696898,
     author = {Serfling, R. J.},
     title = {Moment Inequalities for the Maximum Cumulative Sum},
     journal = {Ann. Math. Statist.},
     volume = {41},
     number = {6},
     year = {1970},
     pages = { 1227-1234},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177696898}
}
Serfling, R. J. Moment Inequalities for the Maximum Cumulative Sum. Ann. Math. Statist., Tome 41 (1970) no. 6, pp.  1227-1234. http://gdmltest.u-ga.fr/item/1177696898/