On upper bounds for the variance of functions of random variables

T. Cacoullos and V. Papathanasiou

Statistics & Probability Letters, 1985, vol. 3, issue 4, 175-184

Abstract: The upper bounds for the variance of a function g of a random variable X obtained in Cacoullos (1982) (for short CP) are improved in the case [mu] = E(X) [not equal to] 0. A main feature of these bounds is that they involve the second moment of the derivative or the difference of g. A multivariate extension for functions of independent random variables is also given.

Keywords: variance; bounds; inequalities; of; Chernoff; and; Chen; Cauchy-Schwarz; inequality; Lagrange; identity (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (9)

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