Probability and moment inequalities for quadratic forms in independent random variables with fat tails

Chi Zhang and Danna Zhang

Statistics & Probability Letters, 2025, vol. 217, issue C

Abstract: Probability and moment inequalities for quadratic forms are valuable tools in studying the properties of second-order statistics. There are extensive results regarding quadratic forms in random variables with finite exponential moments. However, the counterpart that allows for weaker moment conditions is inadequate. In this work, we present a new Nagaev-type tail probability inequality and a Rosenthal-type moment inequality for quadratic forms in random variables with fat tails.

Keywords: Quadratic forms; Probability inequality; Moment inequality (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110290

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