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

DOI10.1017/S0269964800001856zbMATH Open1134.60316OpenAlexW2158144489MaRDI QIDQ3415992FDOQ3415992

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

Recommendations

• Bounds on the expected maximum
• Upper (lower) bounds on the mean of the maximum (minimum) of a number of random variables
• 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

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

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

This page was built for publication: Sharp Bounds on the Largest of some Linear Combinations of Random Variables with Given Marginal Distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3415992)