The variance upper bound for a mixed random variable

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https://hdl.handle.net/20.500.12806/1359
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Universidad de Montevideo, Facultad de Ciencias Empresariales y Economía, Departamento de Economía
Date
2017
Extensión
9 p.
Abstract
In this note, we derive upper bounds on the variance of a mixed random variable. Our results are an extension of previous results for unimodal and symmetric random variables. The novelty of our findings is that this mixed random variable does not necessary need to be symmetric and is multimodal. We also characterize the cases when these bounds are optimal.
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Documento de trabajo
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Documentos de trabajo del Departamento de Economía
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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional