I'm currently stuck in a demonstration involving Jensen's inequality :
Show that
$E(log Y|X) > log X$
implies
$E(Y|X) > X$
using Jensen's inequality.
The suggestion is :
- Start with $E(Y|X) > X$
- Replace Y with $exp(log Y)$
- Use the Jensen's inequality
Doing 1-3, the inequality becomes
$E(exp(log Y)|X) > X$
and
$E(exp(log Y)|X) > exp(E(logY|X))$
I guess you have to log $exp(E(logY|X))$ and $X$ so you will have $E(logY|X))$ and $logX$ but I don't know how to link them.
The suggestion seems to be actually wrong. Correct solution is, for me :
$$E(logY|X)>logX$$
$$exp(E(logY|X) > X$$
By Jensen's Inequalities :
$$E(exp(logY)|X) > exp(E(logY|X) > X$$
$$E(exp(logY)|X) > X$$
$$E(Y|X) > X$$
QED