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St41n
Nov13-10, 12:24 PM
Let x>0 be a random variable with some distribution with finite mean and let E denote the expectation with respect to that distribution.
By Jensen's inequality we have Elog(x) =< logE(x) < +inf

But, does this imply that -inf < Elog(x) too? Or is it possible that Elog(x) = -inf

Sorry if my question is stupid. Thx in advance

HallsofIvy
Nov13-10, 03:57 PM
If x> 0 then log(x) is always finite and so E(log(x)) must be finite.

St41n
Nov13-10, 05:34 PM
But when x -> 0 , log(x) -> -inf

bpet
Nov20-10, 11:10 PM
Try x=exp(-1/u) where u is uniform on (0,1).