Sharpening Jensen's Inequality

J. G. Liao and Arthur Berg

The American Statistician, 2019, vol. 73, issue 3, 278-281

Abstract: This article proposes a new sharpened version of Jensen's inequality. The proposed new bound is simple and insightful, is broadly applicable by imposing minimum assumptions, and provides fairly accurate results in spite of its simple form. Applications to the moment generating function, power mean inequalities, and Rao-Blackwell estimation are presented. This presentation can be incorporated in any calculus-based statistical course.

Date: 2019
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DOI: 10.1080/00031305.2017.1419145

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