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Exact Rosenthal-type bounds for p5p\ge5

Abstract

It is shown that, for any given p5p\ge5, A>0A>0, and B>0B>0, the exact upper bound on EXip\operatorname{\mathsf{E}}|\sum X_i|^p over all independent zero-mean random variables (r.v.'s) X1,,XnX_1,\dots,X_n such that EXi2=B\sum \operatorname{\mathsf{E}} X_i^2=B and EXip=A\sum \operatorname{\mathsf{E}} |X_i|^p=A equals cpEΠλλpc^p \operatorname{\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, more general results are obtained. As a tool used in the proof, a calculus of variations of moments of infinitely divisible distributions with respect to variations of the L\'evy characteristics is developed.

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