TY - JOUR

T1 - The mixing advantage is less than 2

AU - Hamza, Kais

AU - Jagers, Peter

AU - Sudbury, Aidan Waverley

AU - Tokarev, Daniel Vadim

PY - 2009

Y1 - 2009

N2 - 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 for 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 random variables can be chosen so that the bound is approached arbitrarily closely. We also present related comparison results.

AB - 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 for 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 random variables can be chosen so that the bound is approached arbitrarily closely. We also present related comparison results.

UR - http://www.springerlink.com/content/v7067409855w492x/fulltext.pdf

M3 - Article

VL - 12

SP - 19

EP - 31

JO - Extremes

JF - Extremes

SN - 1386-1999

ER -