Optimal Constants in the Rosenthal Inequality for Random Variables with Zero Odd Moments

Marat Ibragimov and Rustam Ibragimov

Scholarly Articles from Harvard University Department of Economics

Abstract: We obtain estimates for the best constant in the Rosenthal inequality View the MathML source for independent random variables ξ1,…,ξn with l zero first odd moments, lgreater-or-equal, slanted1. The estimates are sharp in the extremal cases l=1 and l=m, that is, in the cases of random variables with zero mean and random variables with m zero first odd moments.

Date: 2008
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Published in Statistics and Probability Letters

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Journal Article: Optimal constants in the Rosenthal inequality for random variables with zero odd moments (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:2624461

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