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This article is cited in 30 scientific papers (total in 30 papers)
Short Communications
On an exact constant for the Rosenthal inequality
R. Ibragimov, Sh. Sharahmetov Tashkent State University
Abstract:
Let $\xi_1,\dots,\xi_n$ be independent random variables having symmetric distribution with finite $p$th moment, $2<p<\infty$. It is shown that the precise constant $C^*_p$ in Rosenthal's inequality
$$
\biggl\|\sum_{i=1}^n\xi_i\biggr\|\le C_p\max\biggl(\biggl\|\sum_{i=1}^n\xi_i\biggr\|_2,\biggl(\sum_{i=1}^n\|\xi_i\|_p^p\biggr)^{1/p}\biggr)
$$
has the form
\begin{align*}
C_p^*&=\biggl(1+\frac{2^{p/1}}{\pi^{1/2}}\Gamma\biggl(\frac{p+1}2\biggr)\biggr)^{1/p}, \qquad 2<p<4,
C_p^*&=\|\xi_1-\xi_2\|_p, \qquad p\ge4,
\end{align*} where $\Gamma(\alpha)=\int_0^\infty x^{\alpha-1}e^{-x} dx$, and $\xi_1$, $\xi_2$ are independent Poisson random variables with parameter 0.5. It is proved also that $$ \lim_{p\to\infty}C_p^*\frac{\ln p}p=\frac1e. $$
.
Keywords:
Rosenthal's inequality, random variables withsymmetric distribution, Poisson random variable, moment.
Received: 05.10.1995
Citation:
R. Ibragimov, Sh. Sharahmetov, “On an exact constant for the Rosenthal inequality”, Teor. Veroyatnost. i Primenen., 42:2 (1997), 341–350; Theory Probab. Appl., 42:2 (1998), 294–302
Linking options:
https://www.mathnet.ru/eng/tvp1807https://doi.org/10.4213/tvp1807 https://www.mathnet.ru/eng/tvp/v42/i2/p341
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