English

Bounds for absolute moments of order statistics

Probability 2016-08-01 v2

Abstract

The bounds for absolute moments of order statistics are established. Let X1,,XnX_1,\dots ,X_n be independent identically distributed real-valued random variables and let X1:nXn:nX_{1:n}\le \dots \le X_{n:n} be the corresponding order statistics. The absolute moments EXi:nk\textbf{E}|X_{i:n}|^k, k>0k>0, are estimated via the absolute moment EX1δ\textbf{E}|X_1|^{\delta}, δ>0\delta>0, for all ii such that kδ1inkδ1+1k\delta^{-1}\leq i \leq n-k\delta^{-1}+1 with order (n2i1(ni)1)kδ1(n^2i^{-1}(n-i)^{-1})^{k\delta^{-1}} in ii and nn. These estimates are able to be of some use as a~tool to argue in different probability limit theorems.

Keywords

Cite

@article{arxiv.1607.08066,
  title  = {Bounds for absolute moments of order statistics},
  author = {Nadezhda V. Gribkova},
  journal= {arXiv preprint arXiv:1607.08066},
  year   = {2016}
}

Comments

In: Exploring Stochastic Laws (Skorokhod, A.V., Borovskikh, Yu.V. eds.), 1995, pp. 129--134. Utrecht: VSP