Unified extension of variance bounds for integrated Pearson family
classification
🧮 math.PR
keywords
boundssomevarianceabsolutelybetterclasscontinuousderivatives
read the original abstract
We use some properties of orthogonal polynomials to provide a class of upper/lower variance bounds for a function $g(X)$ of an absolutely continuous random variable $X$, in terms of the derivatives of $g$ up to some order. The new bounds are better than the existing ones.
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