Chapter

Expectations

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.003.0009

Series: Advanced Texts in Econometrics

 Expectations

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The expectation is defined, applying integration concepts to probability measures. Leading examples are given, and the different characterizations of the expectation of a function are compared. The Markov and Jensen inequalities are given. Consideration of multivariate distributions then leads to treatment of the other important results, including the inequalities of Cauchy‐Schwarz, Hölder, Liapunov, Minkowski, and Loève. The final section treats the calculus of random functions of a real variable.

Keywords: Cauchy‐Schwarz inequality; expectation; Hölder's inequality; Jensen's inequality; Liapunov's inequality; Loève's cr inequality; Markov's inequality; Minkowski's inequality

Chapter.  7312 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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