This article is cited in 1 paper

Upper Bounds for the Expected Maxima of Independent Random Variables Given Known First Four Moments

D. V. Ivanov

Lomonosov Moscow State University

Abstract: The paper is devoted to the study of conditional bounds for the expectation of the maximum of independent identically distributed standardized random variables for which the values of the skewness and kurtosis coefficients are known. With the aid of Hölder's inequality, an upper bound (in the form of a lower bound for a certain expression with parameters) is obtained and a criterion for the reachability of this estimate is formulated. A lower bound for the upper boundary of the expectation of the maximum is also found. A simpler and rougher upper bound is given in explicit form.

Keywords: expectation of the maximum, reachability of boundaries, Hölder's inequality, Lagrange multiplier method.

UDC: 517

Received: 22.02.2021
Revised: 11.06.2021

DOI: 10.4213/mzm13052

 English version: Mathematical Notes, 2021, 110:3, 311–321

Bibliographic databases:

• 
• 
•