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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2001 Volume 46, Issue 1, Pages 134–138 (Mi tvp4011)

This article is cited in 23 papers

Short Communications

The Exact Constant in the Rosenthal Inequality for Random Variables with Mean Zero

R. Ibragimova, Sh. Sharahmetovb

a Central Michigan University
b Tashkent State University

Abstract: Let $\xi_1, \ldots, \xi_n$ be independent random variables with $\mathbf{E}\xi_i=0,$ $\mathbf{E}|\xi_i|^t<\infty$, $t>2$, $i=1,\ldots, n,$ and let $S_n=\sum_{i=1}^n \xi_i.$ In the present paper we prove that the exact constant ${\overline C}(2m)$ in the Rosenthal inequality
$$ \mathbf{E}|S_n|^t\le C(t) \max \Bigg(\sum_{i=1}^n\mathbf{E}|\xi_i|^t,\ \Bigg(\sum_{i=1}^n \mathbf{E}\xi_i^2\Bigg)^{t/2}\Bigg) $$
for $t=2m,$ $m\in \mathbf{N},$ is given by
$$ \overline C(2m)=(2m)! \sum_{j=1}^{2m} \sum_{r=1}^j \sum \prod_{k=1}^r \frac {(m_k!)^{-j_k}} {j_k!}, $$
where the inner sum is taken over all natural $m_1 > m_2 > \cdots > m_r > 1$ and $j_1, \ldots, j_r$ satisfying the conditions $m_1j_1+\cdots+m_rj_r=2m$ and $j_1+\cdots+j_r=j$. Moreover
$$ \overline C(2m)=\mathbf{E}(\theta-1)^{2m}, $$
where $\theta $ is a Poisson random variable with parameter 1.

Keywords: Rosenthal inequality, zero mean random variables, moment, Poisson random variable.

Received: 30.03.1998
Revised: 15.03.1999

DOI: 10.4213/tvp4011


 English version:
Theory of Probability and its Applications, 2002, 46:1, 127–132

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