Bounds for the variance of functions of random variables by orthogonal polynomials and Bhattacharya bounds

T. Cacoullos and V. Papathanasiou

Statistics & Probability Letters, 1986, vol. 4, issue 1, 21-23

Abstract: Upper and lower bounds for the variance of a function g of a random variable X are obtained by expanding g in a series of orthogonal polynomials associated with the distribution of X or by using the convergence of Bhattacharya bounds for exponential families of distribution.

Keywords: variance; bounds; Chernoff's; inequality; orthogonal; polynomials; exponential; families; Bhattacharya; bounds (search for similar items in EconPapers)
Date: 1986
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