Exact upper and lower bounds on the difference between the arithmetic and geometric means
Abstract
Let $X$ denote a nonnegative random variable with $\mathsf{E} X<\infty$. Upper and lower bounds on $\mathsf{E} X\exp\mathsf{E}\ln X$ are obtained, which are exact, in terms of $V_X$ and $E_X$ for the upper bound and in terms of $V_X$ and $F_X$ for the lower bound, where $V_X:=\mathsf{Var}\sqrt X$, $E_X:=\mathsf{E}\big(\sqrt X\sqrt{m_X}\,\big)^2$, $F_X:=\mathsf{E}\big(\sqrt{M_X}\sqrt X\,\big)^2$, $m_X:=\inf S_X$, $M_X:=\sup S_X$, and $S_X$ is the support set of the distribution of $X$. Note that, if $X$ takes each of distinct real values $x_1,\dots,x_n$ with probability $1/n$, then $\mathsf{E} X$ and $\exp\mathsf{E}\ln X$ are, respectively, the arithmetic and geometric means of $x_1,\dots,x_n$.
 Publication:

arXiv eprints
 Pub Date:
 March 2015
 arXiv:
 arXiv:1503.00345
 Bibcode:
 2015arXiv150300345P
 Keywords:

 Mathematics  Probability;
 primary 60E15;
 secondary 26D15;
 90C46
 EPrint:
 8 pages