Exact inequalities for sums of asymmetric random variables, with applications

DOI10.1007/S00440-007-0055-4MaRDI QIDQ2642932zbMATH OpenOpenAlexFDO

Authors Iosif Pinelis

Publication date 6 September 2007

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

Full work available at URL https://arxiv.org/abs/math/0602556

zbMATH Keywords

(super)martingalesgeneralized momentsprobability inequalitiesself-normalized sums

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Gaussian processes (60G15) Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Sums of independent random variables; random walks (60G50) Characterization and structure theory of statistical distributions (62E10) Parametric hypothesis testing (62F03) Parametric tolerance and confidence regions (62F25) Nonparametric hypothesis testing (62G10)

Abstract: Let $B{S}_1,\mathrm{...},B{S}_n$ be independent identically distributed random variables each having the standardized Bernoulli distribution with parameter $pin(0,1)$. Let $m_{\ast }(p):=(1+p+2p^2)/(2sqrtp-p^2+4p^2)$ if $0<ple1/2$ and $m_{\ast }(p):=1$ if $1/2lep<1$. Let $mge{m}_{\ast }(p)$. Let $f$ be such a function that $f$ and $f^{″}$ are nondecreasing and convex. Then it is proved that for all nonnegative numbers $c_1,\mathrm{...},c_n$ one has the inequality ${\displaystyle }$E f(c_1BS_1+...+c_nBS_n)leE f(s^{(m)}cdot(BS_1+...+BS_n)),${\displaystyle }$ where $s^{(m)}:=(frac1nsu{m}_{i=1}^n{c}_i^{2m}{)}^{f}rac12m$. The lower bound $m_{\ast }(p)$ on $m$ is exact for each $pin(0,1)$. Moreover, $Ef(c_{1}B{S}_1+\mathrm{...}+c_{n}B{S}_n)$ is Schur-concave in $(c_1^{2m},\mathrm{...},c_n^{2m})$. A number of related results are presented, including ones for the ``symmetric case. A number of corollaries are obtained, including upper bounds on generalized moments and tail probabilities of (super)martingales with differences of bounded asymmetry, and also upper bounds on the maximal function of such (super)martingales. It is shown that these results may be important in certain statistical applications.

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Cited in

(15)

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