A Note on a Moment Inequality-Reference-Cited by-同舟云学术

A Note on a Moment Inequality

Published:2023-09-21 Issue:1 Volume:24 Page:435-440
ISSN:1935-1704
Container-title:The B.E. Journal of Theoretical Economics
language:en
Short-container-title:

Author:

Jeong Seungwon (Eugene)¹

Affiliation:

1. College of Business, KAIST , 291 Daehak-ro, Yuseong-gu , Daejeon , 34141 , Republic of Korea

Abstract

Abstract Using Chebyshev’s sum inequality, we generalize E[X 2] ≥ E 2[X] into a moment inequality with a general combination of moments that compares E[X r+s ] and E[X r ]E[X s ]. We also provide its economic application.

Funder

British Academy/Leverhulme Small Research Grants

National Research Foundation of Korea (NRF), Korea Government

Publisher

Walter de Gruyter GmbH

Subject

General Economics, Econometrics and Finance

Link

https://www.degruyter.com/document/doi/10.1515/bejte-2023-0045/pdf

Reference7 articles.

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2. Chebyshev, P. 1882. “Sur les expressions approximatives des integrales definies par les autres prises entre les mêmes limites.” Proceedings of the Kharkov Mathematical Society 2: 93–8.

3. Fink, A. 2000. “An Essay on the History of Inequalities.” Journal of Mathematical Analysis and Applications 249: 118–34. https://doi.org/10.1006/jmaa.2000.6934.

4. Jeong, S. E., and D.-H. Kim. 2021. Uncertainty Paradox: When You Should (Not) Lie. Working Paper. Also available at: https://ssrn.com/abstract=3944677.

5. Marinescu, D. Ş., and M. Monea. 2018. “From Chebyshev to Jensen and Hermite-Hadamard.” Mathematics Magazine 91: 213–7. https://doi.org/10.1080/0025570x.2018.1445376.