Örsal, Deniz Dilan Karaman; Droge, Bernd - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
proof, since all moments of a ´2-distributed random variable exist. ¥
3
Note that inequality (6) cannot be used to bound …;d
·
< a,
(ii) E
‡
Z4T;d
·
< b.
Proof. Using an inequality of Coope (1994), we get, on account of (5),
ZT;d = tr(A¡1T BTB0T … eigenvalues
of F, since PTt=1 ‚t = tr(F) = T(T ¡1)=2.
With the notation "t = ("t1;:::;"td)0, the last term in inequality (7) may …