Relations between exponential tails, moments and moment generating functions for random variables and vectors

2017/01/08 by Yuriy Kozachenko, Kozachenko, Yu. V., E. Ostrovsky +3 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Functional Analysis (math.FA) #Mathematical Approximation and Integration #Probability and Risk Models

paper · pdf · doi:10.48550/arxiv.1701.01901

openalex publication_date 2017/01/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We offer in this paper the non-asymptotical pairwise bilateral exact up to multiplicative constants interrelations between exponential decreasing tail behavior, moments (Grand Lebesgue Spaces) norm and moment generating functions norm for random variables and vectors (r.v.).

Citations

• Nikol'skii-type inequalities for rearrangement invariant spaces

Cited by

• Exponential tail estimates in the Law of Ordinary Logarithm (LOL) for\n arrays of random variables
• Moment and tail estimation for U-statistics with positive kernels

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