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Sep 27, 2022 at 11:20 vote accept math110
Mar 9, 2021 at 7:41 comment added Mateusz Kwaśnicki If $X$ is centered at the median, the last question is partially answered in item 15 of Complements and details to Section 19 of Loéve's book Probability Theory I, DOI:10.1007/978-1-4684-9464-8. He gives an inequality with an additional factor $\tfrac{(2k+1)!}{(2^kk!)^2}$ if $n=2k+1$ or $n=2k+2$. An example that follows shows that if $X=1$ with probability $\tfrac23$ and $X=-2$ with probability $\tfrac13$, then $E|X+Y+Z|=E|X+Y|=\tfrac43 E|X|$. I do not know right away if these constants are optimal.
Feb 6, 2021 at 13:24 history edited fedja CC BY-SA 4.0
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Feb 5, 2021 at 22:42 history answered fedja CC BY-SA 4.0