On upper bounds for the variance of functions of random variables

The upper bounds for the variance of a function g of a random variable X obtained in Cacoullos (1982) (for short CP) are improved in the case [mu] = E(X) [not equal to] 0. A main feature of these bounds is that they involve the second moment of the derivative or the difference of g. A multivariate extension for functions of independent random variables is also given.

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Year of publication:	1985
Authors:	Cacoullos, T. ; Papathanasiou, V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 3.1985, 4, p. 175-184
Publisher:	Elsevier
Keywords:	variance bounds inequalities of Chernoff and Chen Cauchy-Schwarz inequality Lagrange identity

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223456