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Started by Stewart J Mayhew
Fri, 17 Apr 1992 03:31
What is Jensen's Theorem?
Author: Stewart J Mayhew
Date: Fri, 17 Apr 1992 03:31
Date: Fri, 17 Apr 1992 03:31
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581 bytes
Can somebody please e-mail me a short explanation of Jensen's inequality
and/or give me a citation where I can find a statement and proof
of same? Thank you very much. Stewart Mayhew ecosjmg@byuvm.byu.edu
Re: What is Jensen's Theorem?
Author: Rob Strawderman
Date: Fri, 17 Apr 1992 16:27
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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