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Bounding the error of a truncated moment problem

Let $\{x_{i}\}_{i=1}^{\infty}$ be a non-increasing sequence of non-negative real numbers, and let $\{y_{j}\}_{j=1}^{B}$ be a non-increasing sequence of non-negative real numbers, where $B$ is a finite ...
CWC's user avatar
  • 433
3 votes
2 answers
189 views

Is the covariance of squares always bounded from below by two times the covariance?

I came across the following inequality in one of my calculations ($X,Y$ are centered random variables): $$\operatorname{E}(X^2Y^2)-\operatorname{E}(X^2)\operatorname{E}(Y^2) \geq 2 \operatorname{E}(...
r_faszanatas's user avatar
5 votes
1 answer
348 views

A Minkowski-like inequality

Assume that $X$ and $Y$ are two arbitrary non-negative random variables. Is the following inequality true for $1\leq\alpha\leq 2$? \begin{align} \left(\mathbb{E}\left[X^\alpha\right]-\mathbb{E}\left[...
Math_Y's user avatar
  • 287
4 votes
1 answer
197 views

Does this moment inequality hold for any probability measure on the positive real line?

Problem statement Let $P$ be a probability measure on the positive real line and assume all it's raw moments, $\mu_k = \mathbb{E}[x^k]$, $k=1,2,\dots$ exist and $\mu_k < \infty$ for all $k$. Let $...
Sebastian Nowozin's user avatar
4 votes
0 answers
205 views

Dimension reduction for low-order moments of Rademacher-weighted sums of vectors

Let $x_1,\dots,x_n$ be vectors in a Euclidean space $H$. Let $\varepsilon_1,\dots,\varepsilon_n$ be independent Rademacher random variables (r.v.'s), so that $P(\varepsilon_i=\pm1)=1/2$ for all $i$. ...
Iosif Pinelis's user avatar