The Pitman inequality for exchangeable random vectors

J. Behboodian, Naveen Bansal, G.G. Hamedani and Hans Volkmer

Statistics & Probability Letters, 2013, vol. 83, issue 8, 1825-1829

Abstract: In this short article the following inequality called the “Pitman inequality” is proved for the exchangeable random vector (X1,X2,…,Xn) without the assumption of continuity and symmetry for each component Xi:P(|1n∑i=1nXi|≤|∑i=1nαiXi|)≥12 , where allαi≥0 are special weights with∑i=1nαi=1.

Keywords: Exchangeability; Equality in distribution; Pitman inequality; Characteristic function (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.04.010

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