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Exact Rosenthal-type bounds

16 April 2013
I. Pinelis
ArXiv (abs)PDFHTML
Abstract

It is shown that, for any given p≥5p\ge5p≥5, A>0A>0A>0 and B>0B>0B>0, the exact upper bound on E∣∑Xi∣p\mathsf{E}|\sum X_i|^pE∣∑Xi​∣p over all independent zero-mean random variables (r.v.'s) X1,…,XnX_1,\ldots,X_nX1​,…,Xn​ such that ∑EXi2=B\sum\mathsf{E}X_i^2=B∑EXi2​=B and ∑E∣Xi∣p=A\sum\mathsf{E}|X_i|^p=A∑E∣Xi​∣p=A equals cpE∣Πλ−λ∣pc^p\mathsf{E}|\Pi_{\lambda}-\lambda|^pcpE∣Πλ​−λ∣p, where (λ,c)∈(0,∞)2(\lambda ,c)\in(0,\infty)^2(λ,c)∈(0,∞)2 is the unique solution to the system of equations cpλ=Ac^p\lambda=Acpλ=A and c2λ=Bc^2\lambda=Bc2λ=B, and Πλ\Pi_{\lambda}Πλ​ is a Poisson r.v. with mean λ\lambdaλ. 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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