Mean and minimum of independent random variables

DOI10.1007/S11856-021-2195-0MaRDI QIDQ2055296zbMATH OpenOpenAlexFDO

Authors Naomi Dvora Feldheim, Ohad Noy Feldheim

Publication date 1 December 2021

Published in Israel Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.03004

zbMATH Keywords

asymptoticinequalityminimum

Mathematics Subject Classification ID

Combinatorial probability (60C05) Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

Abstract: We show that any pair $X,Y$ of independent, non-compactly supported random variables on $[0,infty)$ satisfies $limin{f}_{moinfty}mathbbP(min(X,Y)>m,|,X+Y>2m)=0$. We conjecture multi-variate and weighted generalizations of this result, and prove them under the additional assumption that the random variables are identically distributed.

Review text

For any pair \(X,Y\) of independent non-compactly supported random variables on \([0, \infty)\), this paper shows \[ \liminf_{n \rightarrow \infty} \mathbf{P}(\min(X,Y)>m \mid X+Y>2m) = 0. \] Furthermore, the multi-variate and weighted generalizations of this result are proposed, which are proven under the additional assumption that the random variables are identically distributed.

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• A combinatorial approach to small ball inequalities for sums and differences
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• The 123 theorem and its extensions

Cited in

(11)

• Distributions of the minimum and the maximum of a random number of random variables
• The 123 theorem and its extensions
• A sharp estimate for probability distributions
• Three convolution inequalities on the real line with connections to additive combinatorics
• The moment index of minima. II.
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• The moment index of minima
• On the minimum of several random variables
• The minimum of the expected value of the product of three random variables in the Fréchet class
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• On independence of time and cause

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