On Cox–Kemperman moment inequalities for independent centered random variables

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.

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Year of publication:	2014
Authors:	Ruzankin, P.S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 80-84
Publisher:	Elsevier
Subject:	Cox–Kemperman inequalities \| Moment inequalities \| Centered random variable \| Symmetric random variable \| Two-point distribution

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

Persistent link: https://www.econbiz.de/10011040126