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Post Closed as "not a real question" by Yemon Choi, Qiaochu Yuan, Andres Caicedo, Will Jagy, Bill Johnson
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Hello, I am trying to find an upper bound on the expectation value of the product of two random variables. So suppose x, y are two non-independent random variables, given that I know the distribution of x p(x) and the distribution of y q(y), how can I find an upper bound on E[|x * y |] that is a function of p and q? What I know that Holder's inequality shall gives an upper bound to my problem in terms of moments of x and y, but this is a poor bound for the problem that I use?am considering. Thank you! Best Michele |
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Upper bound on expectation value of the product of two random variablesHello, I am trying to find an upper bound on the expectation value of the product of two random variables. So suppose x, y are two non-independent random variables, given that I know the distribution of x p(x) and the distribution of y q(y), how can I find an upper bound on E[|x * y |] that is a function of p and q? What inequality shall I use? Thank you! Best Michele
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