Binomial upper bounds on generalized moments and tail probabilities of (super)martingales with differences bounded from above

DOI10.1214/074921706000000743MaRDI QIDQ3592306zbMATH OpenOpenAlexFDO

Authors Iosif Pinelis

Publication date 12 September 2007

Published in High Dimensional Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0512301

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Generalizations of martingales (60G48)

Abstract: Let $(S_0,S_1,\mathrm{...})$ be a supermartingale relative to a nondecreasing sequence of $sigma$-algebras $H_{le0},H_{le1},\mathrm{...}$, with $S_{0}le0$ almost surely (a.s.) and differences $X_i:=S_i-S_{i-1}$. Suppose that $X_{i}led$ and $mathsfVar(X_i|H_{lei-1})lesigm{a}_i^2$ a.s. for every $i=1,2,\mathrm{...}$, where $d>0$ and $sigm{a}_i>0$ are non-random constants. Let $T_n:=Z_1+\mathrm{...}+Z_n$, where $Z_1,\mathrm{...},Z_n$ are i.i.d. r.v.'s each taking on only two values, one of which is $d$, and satisfying the conditions $mathsfE{Z}_i=0$ and $mathsfVar{Z}_i=sigm{a}^2:=frac1n(sigm{a}_1^2+\mathrm{...}+sigm{a}_n^2)$. Then, based on a comparison inequality between generalized moments of $S_n$ and $T_n$ for a rich class of generalized moment functions, the tail comparison inequality ${\displaystyle }$ mathsf P(S_nge y) le c mathsf P^{mathsf Lin,mathsf L C}(T_nge y+ frach2)quadforall yin mathbb R${\displaystyle }$ is obtained, where $c:=e^2/2=\mathrm{3.694...}$, $h:=d+sigm{a}^2/d$, and the function $ymapstomathsf{P}^{mathsfLin,mathsfLC}(T_{n}gey)$ is the least log-concave majorant of the linear interpolation of the tail function $ymapstomathsfP(T_{n}gey)$ over the lattice of all points of the form $nd+kh$ ($kinmathbbZ$). An explicit formula for $mathsf{P}^{mathsfLin,mathsfLC}(T_{n}gey+frach2)$ is given. Another, similar bound is given under somewhat different conditions. It is shown that these bounds improve significantly upon known bounds.

Recommendations

• On Probability and Moment Inequalities for Supermartingales and Martingales
• On probability and moment inequalities for supermartingales and martingales
• Hoeffding's inequality for supermartingales
• On normal domination of (super)martingales
• An inequality for tail probabilities of martingales with bounded differences

Cited in

(11)

• Upper bounds for superquantiles of martingales
• Positive-part moments via the Fourier-Laplace transform
• Hoeffding's inequality for supermartingales
• On probability and moment inequalities for supermartingales and martingales
• On domination of tail probabilities of (super)martingales: explicit bounds
• An exact bound for tail probabilities for a class of conditionally symmetric bounded martingales
• On normal domination of (super)martingales
• Exact inequalities for sums of asymmetric random variables, with applications
• On the Bennett-Hoeffding inequality
• Toward the best constant factor for the Rademacher-Gaussian tail comparison
• Bounds for tail probabilities of martingales using skewness and kurtosis

This page was built for publication: Binomial upper bounds on generalized moments and tail probabilities of (super)martingales with differences bounded from above

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3592306)