The minimum of the expected value of the product of three random variables in the Fréchet class |
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Authors: | Salvatore Bertino |
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Institution: | 1. Dipartimento di Statistica, Probabilità e Statistiche Applicate, Università ?La Sapienza?, Roma
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Abstract: | Summary In this paper the minimum of the expected value of the product of three random variables is studied as their joint distribution
function varies in the Fréchet class associated to the three given marginal distribution functions. The general problem is
studied for three positive valued random variables and a lower bound for the minimum is provided. The case of three uniformly
distributed random variables in 0, 1] is analyzed in more detail and an upper bound for the minimum is given. The Author conjectures that the distribution correspondent
to the upper bound is a solution of the problem.
Paper written with the contribution of MURST (funds 40%). |
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Keywords: | Fréchet class minimization lower bounds |
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