Bounds on Moments of Certain Random Variables
Dharmadhikari, S. W. ; Jogdeo, Kumar
Ann. Math. Statist., Tome 40 (1969) no. 6, p. 1506-1509 / Harvested from Project Euclid
Let $\{X_n, n \geqq 1\}$ be a sequence of random variables and let $S_n = \sum^n_{i=1} X_i$. Under the condition that $\{S_n\}$ forms a martingale sequence, it was shown in [2] that, for $\nu \geqq 2$, $E(|S_n)^\nu) \leqq C_\nu n^{(\nu/2)-1} \sum^n_{i=1} E|X_i|^\nu,$ where \begin{equation*} \tag{(1)} C_\nu = \lbrack 8(\nu - 1) \max (1, 2^{\nu-3}) \rbrack^\nu.\end{equation*} The purpose of this paper is to show that the constant $C_\nu$ can be replaced by a much smaller constant in the following two cases: (i) $\nu$ is an even integer and the martingale dependence condition is replaced by one which is more explicit in terms of moments (Theorem 1); (ii) the $X_n$'s are independent with zero means (Theorem 2). For case (i) we give for $E(|S_n|^\nu)$ a bound which is a polynomial in $n$. This last bound does not appear to be too exhorbitant because, as shown by an example, it is not valid for all martingales $\{S_n\}$.*
Publié le : 1969-08-14
Classification: 
@article{1177697526,
     author = {Dharmadhikari, S. W. and Jogdeo, Kumar},
     title = {Bounds on Moments of Certain Random Variables},
     journal = {Ann. Math. Statist.},
     volume = {40},
     number = {6},
     year = {1969},
     pages = { 1506-1509},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697526}
}
Dharmadhikari, S. W.; Jogdeo, Kumar. Bounds on Moments of Certain Random Variables. Ann. Math. Statist., Tome 40 (1969) no. 6, pp.  1506-1509. http://gdmltest.u-ga.fr/item/1177697526/