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Marcinkiewicz–Zygmund inequality : ウィキペディア英語版
Marcinkiewicz–Zygmund inequality
In mathematics, the Marcinkiewicz–Zygmund inequality, named after Józef Marcinkiewicz and Antoni Zygmund, gives relations between moments of a collection of independent random variables. It is a generalization of the rule for the sum of variances of independent random variables to moments of arbitrary order.
==Statement of the inequality==

Theorem 〔J. Marcinkiewicz and A. Zygmund. Sur les foncions independantes. ''Fund. Math.'', 28:60–90, 1937. Reprinted in Józef Marcinkiewicz, ''Collected papers'', edited by Antoni Zygmund, Panstwowe Wydawnictwo Naukowe, Warsaw, 1964, pp. 233–259.
〕〔Yuan Shih Chow and Henry Teicher. ''Probability theory. Independence, interchangeability, martingales''. Springer-Verlag, New York, second edition, 1988.
〕 If \textstyle x_, \textstyle i=1,\ldots,n, are independent random variables such that \textstyle E\left( x_\right) =0 and \textstyle E\left( \left\vert x_\right\vert ^\right) <+\infty, \textstyle 1\leq p<+\infty,
: A_E\left( \left( \sum_^\left\vert x_\right\vert ^\right) _^\right) \leq E\left( \left\vert \sum_^x_\right\vert ^\right) \leq B_E\left( \left( \sum_^\left\vert x_\right\vert ^\right) _^\right)
where \textstyle A_ and \textstyle B_ are positive constants, which depend only on \textstyle p.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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