Sharp Bounds on the Largest of some Linear Combinations of Random Variables with Given Marginal Distributions

DOI10.1017/S0269964800001856MaRDI QIDQ3415992zbMATH OpenOpenAlexFDO

Authors Isaac Meilijson

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800001856

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30)

Recommendations

• Bounds on the expected maximum
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• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Bounds on the mean of the maximum of a number of normal random variables
• scientific article; zbMATH DE number 4099007

Cites work

• Convex majorization with an application to the length of critical paths
• Game theoretic proof that Chebyshev inequalities are sharp
• Sharpness of Fr�chet-bounds

Cited in

(2)

• A new proof for the peakedness of linear combinations of random variables
• Distributionally Robust Linear and Discrete Optimization with Marginals

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