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

Ewa Damek, Rafał Latała, Piotr Nayar and Tomasz Tkocz

Stochastic Processes and their Applications, 2015, vol. 125, issue 4, 1688-1713

Abstract: 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.

Keywords: Estimation of moments; Product of independent random variables; Riesz product; Stochastic difference equation; Perpetuity (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2014.11.012

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