On Cox–Kemperman moment inequalities for independent centered random variables

P.S. Ruzankin

Statistics & Probability Letters, 2014, vol. 86, issue C, 80-84

Abstract: In 1983 Cox and Kemperman proved that Ef(ξ)+Ef(η)≤Ef(ξ+η) for functions f with convex second derivative and independent centered random variables ξ and η. We suggest another proof, show that the minimal moment restrictions are sufficient, and write out a less restrictive condition on f for the inequality to hold.

Keywords: Cox–Kemperman inequalities; Moment inequalities; Centered random variable; Symmetric random variable; Two-point distribution (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.12.005

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