Abstract
By combining the Moriguti and Steffensen inequalities, we obtain sharp upper bounds for the expectations of arbitrary linear combinations of order statistics from iid samples. The bounds are expressed in terms of expectations of the left truncated parent distribution and constants that depend only on the coefficients of the linear combination. We also present analogous results for dependent id samples. The bounds are especially useful for L-estimates of the scale parameter of the distribution.
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Balakrishnan, N., Rychlik, T. Evaluating expectations of L-statistics by the Steffensen inequality. Metrika 63, 371–384 (2006). https://doi.org/10.1007/s00184-005-0026-7
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DOI: https://doi.org/10.1007/s00184-005-0026-7