On Cox–Kemperman moment inequalities for independent centered random variables

Abstract

In 1983 Cox and Kemperman proved that $\E f(\xi)+ \E f(\eta) \le \E f(\xi+\eta)$ for all functions $f$, such that $f(0)=0$ and the second derivative $f''(y)$ is convex, and all independent centered random variables $\xi$ and $\eta$ satisfying certain moment restrictions. We show that the minimal moment restrictions are sufficient for the inequality to be valid, and write out a less restrictive condition on $f$ for the inequality to hold. Besides, Cox and Kemperman (1983) found out the optimal constants $A_\rho$ and $B_\rho$ for the inequalities $A_\rho (\E |\xi|^\rho + \E |\eta|^\rho) \le \E |\xi + \eta|^\rho \le B_\rho (\E |\xi|^\rho + \E |\eta|^\rho) $, where $\rho\ge1$, $\xi$ and $\eta$ are independent centered random variables. We write out similar sharp inequalities for symmetric random variables.