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Sharpening Jensen's Inequality |
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| Authors: | J. G. Liao Arthur Berg |
| Affiliation: | Division of Biostatistics and Bioinformatics, Penn State University College of Medicine |
| Abstract: | This article proposes a new sharpened version of Jensen's inequality. The proposed new bound is simple and insightful, is broadly applicable by imposing minimum assumptions, and provides fairly accurate results in spite of its simple form. Applications to the moment generating function, power mean inequalities, and Rao-Blackwell estimation are presented. This presentation can be incorporated in any calculus-based statistical course. |
| Keywords: | Jensen gap Power mean inequality Rao-Blackwell estimator Taylor series |