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arXiv · 1405.6884

Maximizing the expected range from dependent observations under mean-variance information

Nickos Papadatos
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Abstract

In this article we derive the best possible upper bound for $E[\max{X_i}-\min_i{X_i}]$ under given means and variances on $n$ random variables $X_i$. The random vector $(X_1,...,X_n)$ is allowed to have any dependence structure, provided $E X_i=\mu_i$ and $Var X_i=\sigma_i^2$, $0<\sigma_i<\infty$. We provide an explicit characterization of the $n$-variate distributions that attain the equality (extremal random vectors), and the tight bound is compared to other existing results. Key words and phrases: Range; Dependent Observations; Tight Expectation Bounds; Extremal Random Vectors; Probability Matrices; Characterizations.

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Nickos Papadatos. 2014-05-27. Maximizing the expected range from dependent observations under mean-variance information. https://doi.org/10.1080/02331888.2015.1074234

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