Moment bounds for mixing random variables useful in nonparametric function estimation
نویسندگان
چکیده
منابع مشابه
Moment bounds for truncated random variables
Given any random variable X ∈ [0,M ] with EX = m1 and EX = m2 fixed, various bounds are derived on the mean and variance of the truncated random variable max(0, X−K) with K > 0 given. The results are motivated by questions associated with European call option. The techniques are based on domination by quadratic functions and change of measures in the unimodal distribution case.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1995
ISSN: 0304-4149
DOI: 10.1016/0304-4149(94)00063-y