The mixing advantage for bounded random variables

K. Hamza and A.W. Sudbury

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1190-1195

Abstract: Corresponding to n independent non-negative random variables X1,...,Xn concentrated on a bounded interval set are values M1,...,Mn, where each Mi is the expected value of the maximum of n independent copies of Xi. We obtain a sharp upper bound for the expected value of the maximum of X1,...,Xn in terms of M1,...,Mn. This inequality is sharp. A similar result is demonstrated for minima.

Keywords: Mixing; Stochastic; ordering; Distribution; of; the; maximum (search for similar items in EconPapers)
Date: 2011
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