Authors
Citation
P. Hitczenko, SHARP INEQUALITY FOR RANDOMLY STOPPED SUMS OF INDEPENDENT NONNEGATIVERANDOM-VARIABLES, Stochastic processes and their applications, 51(1), 1994, pp. 63-73
Citations number
6
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
ISSN journal
03044149
Volume
51
Issue
1
Year of publication
1994
Pages
63 - 73
Database
ISI
SICI code
0304-4149(1994)51:1<63:SIFRSS>2.0.ZU;2-N
Abstract
In this paper we shall prove a moment inequality which in a special ca
se yields the following result [GRAPHICS] where (zi(k)) is a sequence
of independent non-negative random variables, tau is a stopping time,
and tau' is a copy of tau independent of the sequence (zi(k)). The con
stant 2p-1 is best possible.