Multilinear approximation on rectangles and the related moment problem

Willem K. Klein Haneveld

Statistica Neerlandica, 2005, vol. 59, issue 3, 277-297

Abstract: The Edmundson–Madansky (E–M) inequality provides an upper bound of the expectation of a convex function of a random vector, provided the components of the random vector are stochastically independent. Frauendorfer and Kall extended the E–M inequality to the dependent case. This paper provides the natural algebraic setting for this extension. It is shown that multilinear approximation is the basic idea. The results and the calculations are simplified considerably by the use of Kronecker products. Moreover, the class of all functions for which the general E–M bound holds is characterized completely. It includes many nonconvex functions, for instance the multi‐chord‐dominated functions, which include the multiconvex functions.

Date: 2005
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9574.2005.00295.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:59:y:2005:i:3:p:277-297

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by Miroslav Ristic, Marijtje van Duijn and Nan van Geloven

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().