Exact Rosenthal-type bounds

Abstract

It is shown that, for any given $p\ge5$, $A>0$ and $B>0$, the exact upper bound on $\mathsf{E}|\sum X_i|^p$ over all independent zero-mean random variables (r.v.'s) $X_1,\ldots,X_n$ such that $\sum\mathsf{E}X_i^2=B$ and $\sum\mathsf{E}|X_i|^p=A$ equals $c^p\mathsf{E}|Π_λ-λ|^p$, where $(λ,c)\in(0,\infty)^2$ is the unique solution to the system of equations $c^pλ=A$ and $c^2λ=B$, and $Π_λ$ is a Poisson r.v. with mean $λ$. In fact, a more general result is obtained, as well as other related ones. As a tool used in the proof, a calculus of variations of moments of infinitely divisible distributions with respect to variations of the Lévy characteristics is developed.