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On Cox–Kemperman moment inequalities for independent centered random variables

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  • Ruzankin, P.S.

Abstract

In 1983 Cox and Kemperman proved that Ef(ξ)+Ef(η)≤Ef(ξ+η) for functions f with convex second derivative and independent centered random variables ξ and η. We suggest another proof, show that the minimal moment restrictions are sufficient, and write out a less restrictive condition on f for the inequality to hold.

Suggested Citation

  • Ruzankin, P.S., 2014. "On Cox–Kemperman moment inequalities for independent centered random variables," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 80-84.
    • Handle: RePEc:eee:stapro:v:86:y:2014:i:c:p:80-84
    DOI: 10.1016/j.spl.2013.12.005
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    References listed on IDEAS

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    1. Ibragimov, R. & Sharakhmetov, Sh., 2001. "The best constant in the Rosenthal inequality for nonnegative random variables," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 367-376, December.
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