Mathematics – Probability
Scientific paper
2008-05-04
Mathematics
Probability
Scientific paper
Corresponding to $n$ independent non-negative random variables $X_1,...,X_n$, are values $M_1,...,M_n$, where each $M_i$ is the expected value of the maximum of $n$ independent copies of $X_i$. We obtain an upper bound to the expected value of the maximum of $X_1,...,X_n$ in terms of $M_1,...,M_n$. This inequality is sharp in the sense that the quantity and its bound can be made as close to each other as we want. We also present related comparison results.
Hamza Kais
Jagers Peter
Sudbury Aidan
Tokarev Daniel
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