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Inequalities Between the Second and Fourth Moments 

Author: Ilona Dreier a
Affiliation:   a Technische Universitaumlt Dresden,
DOI: 10.1080/02331889808802661
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 32, Issue 2 1998 , pages 189 - 198
Formats available: PDF (English)
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Abstract

Let σ2 be the variance and μ4 the fourth moment of a symmetric probability distribution.

We will prove that for distributions with non-negative characteristic function the inequality μ4 ≥ 2σ4 holds and that μ4 - 2σ4 if and only if the characteristic function f is given by f(x) = cos2(ax). ./GSTA_A_8802661_O_XML_IMAGES/GSTA_A_8802661_O_ILM0001.gif   for some ./GSTA_A_8802661_O_XML_IMAGES/GSTA_A_8802661_O_ILM0002.gif   . For symmetric unimodal distributions we have μ4 ≥ (9/5)σ4 and μ4 = (9/5)σ4 if and only if the characteristic function f is given by f(x) = (sin(ax))/ax, ./GSTA_A_8802661_O_XML_IMAGES/GSTA_A_8802661_O_ILM0003.gif   for some ./GSTA_A_8802661_O_XML_IMAGES/GSTA_A_8802661_O_ILM0004.gif   .

The products of variances of adjoint positive definite densities have a greatest lower bound A. There is a self-adjoint distribution such that σ4 = Λ. We will prove that for such distributions the equality μ4 ≤ 2 + σ4 holds.
Keywords: Moments; uncertainly principle; characteristic function
AMS Subject Classification: 60E10; 60E15; 60E99
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