Strengthened Chernoff-type variance bounds

G. Afendras; N. Papadatos

doi:10.3150/12-BEJ484

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Home > Journals > Bernoulli > Volume 20 > Issue 1 > Article

February 2014 Strengthened Chernoff-type variance bounds

G. Afendras, N. Papadatos

Bernoulli 20(1): 245-264 (February 2014). DOI: 10.3150/12-BEJ484

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Abstract

Let $X$ be an absolutely continuous random variable from the integrated Pearson family and assume that $X$ has finite moments of any order. Using some properties of the associated orthonormal polynomial system, we provide a class of strengthened Chernoff-type variance bounds.