Re: What is Jensen's Theorem?

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Article #227

#227

From: Rob Strawderman
Date: Fri, 17 Apr 1992 16:27

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Jensens Inequality
------------------

If X is an L-1 random variable and g(.) is a convex function, then

E( g(X) )  >=  g( E(X) )


See Chow and Teicher "Probability Theory" Section 4.3 (this may give more
explanation than you are interested in).  You might also try
"A First Course in Probability" by Sheldon Ross, or
"Approximation Theorems of Mathematical Statistics" by Robert Serfling.

Rob Strawderman
Dept. of Biostatistics
Harvard University

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Path: arc1-ca.pugleaf.net!sparky!uunet!usc!news.bbn.com!hsdndev!bacchus.harvard.edu!robbie
From: robbie@bacchus.harvard.edu (Rob Strawderman)
Newsgroups: sci.math.stat
Subject: Re: What is Jensen's Theorem?
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Date: 17 Apr 92 16:27:19 GMT
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