A differential version of the Efron-Stein inequality: bounding the variance of a function of an infinitely divisible variable

Upon a suitable passage to the limit, the Efron-Stein inequality produces a general variance bound for an absolutely continuous function of an infinitely divisible variable. A necessary and sufficient condition for attainment of the bound is also given.

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Year of publication:	1988
Authors:	Vitale, Richard A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 7.1988, 2, p. 105-112
Publisher:	Elsevier
Keywords:	Efron-Stein inequality infinite divisibility jackknife Lévy-Khinchine representation Poincare inequality Sobolev inequality symmetric statistics Wirtinger inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138266