On upper bounds for the variance of functions of random variables |
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| Authors: | T Cacoullos V Papathanasiou |
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| Institution: | Statistical Unit, University of Athens, Panepistemiopolis, Couponia, Athens, Greece |
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| Abstract: | The upper bounds for the variance of a function g of a random variable X obtained in Cacoullos (1982) (for short CP) are improved in the case μ = E(X) ≠ 0. A main feature of these bounds is that they involve the second moment of the derivative or the difference of g. A multivariate extension for functions of independent random variables is also given. |
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| Keywords: | variance bounds inequalities of Chernoff and Chen Cauchy-Schwarz inequality Lagrange identity |
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