释义 |
absolute moments bounding (necessary and sufficient condition)Let be a random variable ; then if and only if, | | |
Proof.a) It’s enough to take and the thesis follows easily.
b) Let (the case is trivial). Then, using Cauchy-Schwarzinequality times, one has: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
and since this must hold for any , we obtain ∎ |