Two-sided bounds for Lp-norms of combinations of products of independent random variables

We show that for every positive p, the Lp-norm of linear combinations (with scalar or vector coefficients) of products of i.i.d. random variables, whose moduli have a nondegenerate distribution with the p-norm one, is comparable to the lp-norm of the coefficients and the constants are explicit. As a result the same holds for linear combinations of Riesz products.

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Year of publication:	2015
Authors:	Damek, Ewa ; Latała, Rafał ; Nayar, Piotr ; Tkocz, Tomasz
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 4, p. 1688-1713
Publisher:	Elsevier
Subject:	Estimation of moments \| Product of independent random variables \| Riesz product \| Stochastic difference equation \| Perpetuity

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

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