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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 , , are independent random variables such that and , , : where and are positive constants, which depend only on . 抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「Marcinkiewicz–Zygmund inequality」の詳細全文を読む スポンサード リンク
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