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Exact Rosenthal-type bounds

Abstract

It is shown that, for any given p5p\ge5, A>0A>0 and B>0B>0, the exact upper bound on EXip\mathsf{E}|\sum X_i|^p over all independent zero-mean random variables (r.v.'s) X1,,XnX_1,\ldots,X_n such that EXi2=B\sum\mathsf{E}X_i^2=B and EXip=A\sum\mathsf{E}|X_i|^p=A equals cpEΠλλpc^p\mathsf{E}|\Pi_{\lambda}-\lambda|^p, where (λ,c)(0,)2(\lambda ,c)\in(0,\infty)^2 is the unique solution to the system of equations cpλ=Ac^p\lambda=A and c2λ=Bc^2\lambda=B, and Πλ\Pi_{\lambda} is a Poisson r.v. with mean λ\lambda. In fact, a more general result is obtained, as well as other related ones. As a tool used in the proof, a calculus of variations of moments of infinitely divisible distributions with respect to variations of the L\'{e}vy characteristics is developed.

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