The Pitman inequality for exchangeable random vectors

In this short article the following inequality called the “Pitman inequality” is proved for the exchangeable random vector (X1,X2,…,Xn) without the assumption of continuity and symmetry for each component Xi:P(|1n∑i=1nXi|≤|∑i=1nαiXi|)≥12 , where allαi≥0 are special weights with∑i=1nαi=1.

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Year of publication:	2013
Authors:	Behboodian, J. ; Bansal, Naveen ; Hamedani, G.G. ; Volkmer, Hans
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 8, p. 1825-1829
Publisher:	Elsevier
Subject:	Exchangeability \| Equality in distribution \| Pitman inequality \| Characteristic function

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

Persistent link: https://www.econbiz.de/10011040128