Uniformly accurate quantile bounds via the truncated moment generating function: the symmetric case

DOI10.1214/EJP.V12-452zbMATH Open1127.60043OpenAlexW2126949080MaRDI QIDQ2462010FDOQ2462010

Authors: Michael J. Klass, Krzysztof Nowicki 

Publication date: 23 November 2007

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/128203

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zbMATH Keywords

tail probabilitiestail distributionsquantile approximationHoffmann-Jørgensen/Klass-Nowicki inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Probabilistic methods in Banach space theory (46B09)

Cited In (3)

• Exact Bounds on the Truncated-Tilted Mean, with Applications
• Uniform bounds on the relative error in the approximation of upper quantiles for sums of arbitrary independent random variables
• Uniformly accurate quantile bounds for sums of arbitrary independent random variables

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