A shorter proof of Kanter's Bessel function concentration bound

DOI10.1007/S00440-006-0043-0MaRDI QIDQ2641903zbMATH OpenOpenAlexFDO

Authors Lutz Mattner, B. Roos

Publication date 17 August 2007

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603522

zbMATH Keywords

Bernoulli convolutionconcentration functionmodified Bessel functionPoisson binomial distributionsymmetric three point convolutionsymmetrized Poisson distribution

Mathematics Subject Classification ID

Inequalities involving other types of functions (26D07) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

Abstract: We give a shorter proof of Kanter's (1976) sharp Bessel function bound for concentrations of sums of independent symmetric random vectors. We provide sharp upper bounds for the sum of modified Bessel functions $I_0(x)+I_1(x)$, which might be of independent interest. Corollaries improve concentration or smoothness bounds for sums of independent random variables due to Cekanavicius & Roos (2006), Roos (2005), Barbour & Xia 1999), and Le Cam (1986).

Review text

The main result is Theorem 2.1: \(Q(\{k,k+1\})<S_\lambda (\{0,1\})=G(\lambda)=e^{-\lambda}(I_0(\lambda)+I_1(\lambda))\). Here \(Q\) is the convolution of \(n\) symmetric three-point distributions with masses \(p_j/2\), \(1-p_j\) \(p_j/2\) in \(-1,0\) and \(1,j=1,\dots,n\), and \(S_\lambda\) is the symmetrized Poisson distribution with parameter \(\lambda=p_1+\cdots+p_n>0\), i.e., the distribution of \(U-V\) where independent \(U\) and \(V\) are Poisson \((\lambda/2)\). This distribution has mass \(e^{-\lambda}I_h(\lambda)\) with \(h=|j|\) in \(j\in\mathbb{Z}\). Here \(I_k\) is the modified Bessel function of order \(k\). This theorem is slightly more general than Lemma 4.3 in the paper on concentration functions by \textit{M. Kanter} [J. multivariate Analysis 6, 222--236 (1976; Zbl 0347.60043)]. The proof is claimed to be shorter than Kanter's. By choosing suitable \(p_1,\dots, p_n\) a set of inequalities for the concentration function of the sum of \(n\) independent real-valued random variables is derived. The inequality 2.1 is sharp. The proof of 2.1 starts by Fourier inversion of the characteristic function of \(Q\) and uses a special analytic inequality proved in section 3.1 by hard analysis. A number of bounds, some asymptotic, for \(G(\lambda)\) is proved.

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Cited in

(20)

• Total variation error bounds for geometric approximation
• Compound Poisson approximation
• On the accuracy of Poisson approximation
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• On a sum of modified Bessel functions
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