Marcinkiewicz–Zygmund inequality
In mathematics, the Marcinkiewicz–Zygmund inequality, named after Józef Marcinkiewicz and Antoni Zygmund, gives relations between moments of a collection of independent random variables. It is a generalization of the rule for the sum of variances of independent random variables to moments of arbitrary order. It is a special case of the Burkholder-Davis-Gundy inequality in the case of discrete-time martingales.
Marcinkiewicz–Zygmund inequality - Wikipedia Jump to content From Wikipedia, the free encyclopedia Mathematical theorem In mathematics , the Marcinkiewicz – Zygmund inequality , named after Józef Marcinkiewicz and Antoni Zygmund , gives relations between moments of a collection of independent random variables . It is a generalization of the rule for the sum of variances of independent random variables to moments of arbitrary order. It is a special case of the Burkholder-Davis-Gundy inequality in the case of discrete-time martingales. Statement of the inequality [ edit ] Theorem [ 1 ] [ 2 ] If
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