Inequalities Between the Second and Fourth Moments
Author:
Ilona Dreier a
| Affiliation: | a Technische Universit t Dresden, |
DOI:
10.1080/02331889808802661
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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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). for some . 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, for some .
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 |
| view references (7) |

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