If X is a non-negative random variable, which of the following statements is not true ?
MH SET - 2023, SET Exam - 2023,
Answer: C
The inequality that is not true in general is \(E(X^{1/4}) \ge (E(X))^{1/4}\).
Jensen's inequality says \(E\,\phi(X) \ge \phi(E X)\) for convex \(\phi\), and the reverse for concave \(\phi\). On \([0, \infty)\), \(x^{2}\), \(x^{3}\) and \(x^{-2}\) (for \(x \gt 0\)) are convex, so the first, second and fourth inequalities hold. But \(x^{1/4}\) is concave, so
\[ E(X^{1/4}) \le (E X)^{1/4} \]
with strict inequality unless X is constant. For example, if X is 0 or 16 with probability 1/2 each, \(E(X^{1/4}) = 1\) while \((E X)^{1/4} = 8^{1/4} \approx 1.68\).
Please log in or register to report this question.