Exact lower bounds on the exponential moments of Winsorized and truncated random variables
Abstract
Exact lower bounds on the exponential moments of min(y,X) and XIX<y are provided given the first two moments of a random variable X. These bounds are useful in work on large deviations probabilities and nonuniform Berry-Esseen bounds, when the Cram\'er tilt transform may be employed. Asymptotic properties of these lower bounds are presented. Comparative advantages of the Winsorization min(y,X) over the truncation XIX<y are demonstrated.
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