Best constant in the decoupling inequality for non-negative random variables

Pawel Hitczenko

Statistics & Probability Letters, 1990, vol. 9, issue 4, 327-329

Abstract: A simple proof of the following inequality is given: ||[summation operator]Xk||>p [less-than-or-equals, slant] 3p||[summation operator]yk||p, p [greater-or-equal, slanted] 1, where, for n [greater-or-equal, slanted] 1, Xn and Yn are Fn-measurable non-negative random variables with indentical conditional distributions, given Fn-1. Our proof gives the best possible order of constant.

Keywords: Non-negative; random; variables; tangent; sequences; decoupling; inequality (search for similar items in EconPapers)
Date: 1990
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