1994 | OriginalPaper | Buchkapitel
The Extrema of the Expected Value of a Function of Independent Random Variables
verfasst von : Wassily Hoeffding
Erschienen in: The Collected Works of Wassily Hoeffding
Verlag: Springer New York
Enthalten in: Professional Book Archive
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The problem is considered of determining the least upper (or greatest lower) bound for the expected value EK(X1,…, Xn) of a given function K of n random variables X1, …, Xn under the assumption that X1, …, Xn are independent and each Xi has given range and satisfies k conditions of the form for i = 1, …, k. It is shown that under general conditions we need consider only discrete random variables Xi which take on at most k + 1 values.