Optimal binomial, Poisson, and normal left-tail domination for sums of nonnegative random variables

DOI10.1214/16-EJP4474zbMATH Open1338.60061arXiv1503.06482MaRDI QIDQ287718FDOQ287718

Authors: Iosif Pinelis 

Publication date: 23 May 2016

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

Abstract: Let $X_1,dots,X_n$ be independent nonnegative random variables (r.v.'s), with $S_n:=X_1+dots+X_n$ and finite values of $s_i:=E{X}_i^2$ and $m_i:=E{X}_i>0$. Exact upper bounds on $Ef(S_n)$ for all functions $f$ in a certain class $mathcalF$ of nonincreasing functions are obtained, in each of the following settings: (i) $n,m_1,dots,m_n,s_1,dots,s_n$ are fixed; (ii) $n$, $m:=m_1+dots+m_n$, and $s:=s_1+dots+s_n$ are fixed; (iii)~only $m$ and $s$ are fixed. These upper bounds are of the form $Ef(eta)$ for a certain r.v. $eta$. The r.v. $eta$ and the class $mathcalF$ depend on the choice of one of the three settings. In particular, $(m/s)eta$ has the binomial distribution with parameters $n$ and $p:=m^2/(ns)$ in setting (ii) and the Poisson distribution with parameter $lambda:=m^2/s$ in setting (iii). One can also let $eta$ have the normal distribution with mean $m$ and variance $s$ in any of these three settings. In each of the settings, the class $mathcalF$ contains, and is much wider than, the class of all decreasing exponential functions. As corollaries of these results, optimal in a certain sense upper bounds on the left-tail probabilities $P(S_{n}lex)$ are presented, for any real $x$. In fact, more general settings than the ones described above are considered. Exact upper bounds on the exponential moments $Eexph{S}_n$ for $h<0$, as well as the corresponding exponential bounds on the left-tail probabilities, were previously obtained by Pinelis and Utev. It is shown that the new bounds on the tails are substantially better.

Full work available at URL: https://arxiv.org/abs/1503.06482

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zbMATH Keywords

martingalesprobability inequalitiessubmartingalesupper boundsgeneralized momentssums of random variables

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Generalizations of martingales (60G48)

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