Let X1, X2,....,xN be a sequence of zero-mean L2 and uncorrelated random variables. They need not be Gaussian. Is it anything known about the lower bound for
E{max(X1,...,XN)} as a function of N?
Andreas M Brandmaier
http://math.stackexchange.com/questions/89030/expectation-of-the-maximum-of-gaussian-random-variables?rq=1 has good answers.
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Mariusz Michta
I know Fernique's inequality for Gaussian i.i.d. r.v.'s. The question exactly was: what is it known in non-Gaussain case????
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Didier Concordet
For non Gaussian rv, maybe Rice formula could be of interest.
The works of JM Azaïs and M Wschebor should help you
For example see this paper
http://www.math.univ-toulouse.fr/~azais/styles/other/student/level.pdf
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