Exact Lower Bounds on the Exponential Moments of Truncated Random Variables
Exact Lower Bounds on the Exponential Moments of Truncated Random Variables
Exact lower bounds on the exponential moments of min(y, X) and X1{X < y} are provided given the first two moments of a random variable X. These bounds are useful in work on large deviation probabilities and nonuniform Berry-Esseen bounds, when the Cramér tilt transform may be employed. Asymptotic properties …