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April 2003 On extremal distributions and sharp $\bolds{L_p}$-bounds\\ for sums of multilinear forms
Rustam Ibragimov, Shaturgun Sharakhmetov, Victor H. de la Peña
Ann. Probab. 31(2): 630-675 (April 2003). DOI: 10.1214/aop/1048516531

Abstract

In this paper we present a study of the problem of approximating the expectations of functions of statistics in independent and dependent random variables in terms of the expectations of functions of the component random variables. We present results providing sharp analogues of the Burkholder--Rosenthal inequalities and related estimates for the expectations of functions of sums of dependent nonnegative r.v.'s and conditionally symmetric martingale differences with bounded conditional moments as well as for sums of multilinear forms. Among others, we obtain the following sharp inequalities: $E(\sum_{k=1}^n X_k)^t\le 2 \max (\sum_{k=1}^n EX_k^t, (\sum_{k=1}^n a_k)^t)$ for all nonnegative r.v.'s $X_1, \ldots, X_n$ with $E(X_k\mid X_1, \ldots, X_{k-1})\le a_k$, $EX_k^t<\infty$, $k=1, \ldots, n$, $1#x003C;t#x003C;2$; $E(\sum_{k=1}^n X_k)^t\le E\theta^t(1) \max (\sum_{k=1}^n b_k, (\sum_{k=1}^n a_k^s)^{t/s})$ for all nonnegative r.v.'s $X_1, \ldots, X_n$ with $E(X_k^s\mid X_1, \ldots, X_{k-1})\le a_k^s$, $E(X_k^t\mid X_1, \ldots, X_{k-1})\le b_k$, $k=1, \ldots, n$, $1#x003C;t#x003C;2$, $0#x003C;s\le t-1$ or $t\ge 2$, $0#x003C;s\le 1$, where $\theta(1)$ is a Poisson random variable with parameter 1. As applications, new decoupling inequalities for sums of multilinear forms are presented and sharp Khintchine--Marcinkiewicz--Zygmund inequalities for generalized moving averages are obtained. The results can also be used in the study of a wide class of nonlinear statistics connected to problems of long-range dependence and in an econometric setup, in particular, in stabilization policy problems and in the study of properties of moving average and autocorrelation processes. The results are based on the iteration of a series of key lemmas that capture the essential extremal properties of the moments of the statistics involved.

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Rustam Ibragimov. Shaturgun Sharakhmetov. Victor H. de la Peña. "On extremal distributions and sharp $\bolds{L_p}$-bounds\\ for sums of multilinear forms." Ann. Probab. 31 (2) 630 - 675, April 2003. https://doi.org/10.1214/aop/1048516531

Information

Published: April 2003
First available in Project Euclid: 24 March 2003

zbMATH: 1033.60019
MathSciNet: MR1964944
Digital Object Identifier: 10.1214/aop/1048516531

Subjects:
Primary: 60E15 , 60F25 , 60G50

Keywords: autocorrelation processes , Burkholder-Rosenthal-type and Khintchine-type inequalities , Decoupling inequalities , extremal distributions , long-range dependence , moving average processes , nonlinear statistics , statistics , stochastic Taylor expansion , sums of multilinear forms

Rights: Copyright © 2003 Institute of Mathematical Statistics

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Vol.31 • No. 2 • April 2003
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