Exact Rosenthal-type bounds
Probability
2015-10-30 v5 Statistics Theory
Statistics Theory
Abstract
It is shown that, for any given , and , the exact upper bound on over all independent zero-mean random variables (r.v.'s) such that and equals , where is the unique solution to the system of equations and , and is a Poisson r.v. with mean . 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.
Keywords
Cite
@article{arxiv.1304.4609,
title = {Exact Rosenthal-type bounds},
author = {Iosif Pinelis},
journal= {arXiv preprint arXiv:1304.4609},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.1214/14-AOP942 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)