On inequalities for sums of bounded random variables

DOI10.7153/JMI-02-01zbMATH Open1156.60015OpenAlexW2963598698MaRDI QIDQ3598686FDOQ3598686

Authors Iosif Pinelis

Publication date 3 February 2009

Published in Journal of Mathematical Inequalities (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603030

zbMATH Keywords

probability inequalitiesself-normalized sumsupper boundsRademacher random variablessums of independent random variablesbounded random variables\(t\)-statistics(super)martingales

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) Inequalities involving derivatives and differential and integral operators (26D10) Monotonic functions, generalizations (26A48)

Abstract: Let $et{a}_1,et{a}_2,\mathrm{...}$ be independent (not necessarily identically distributed) zero-mean random variables (r.v.'s) such that $|et{a}_i|le1$ almost surely for all $i$, and let $Z$ stand for a standard normal r.v. Let $a_1,a_2,\mathrm{...}$ be any real numbers such that $a_1^2+a_2^2+\mathrm{...}=1.$ It is shown that then ${\displaystyle }$ P(a_1eta_1+a_2eta_2+...ge x) le P(Zge x-la/x) forall x>0, ${\displaystyle }$ where $la:=lnfrac2e^{3}9=\mathrm{1.495...}$. The proof relies on (i) another probability inequality and (ii) a l'Hospital-type rule for monotonicity, both developed elsewhere. A multidimensional analogue of this result is given, based on a dimensionality reduction device, also developed elsewhere. In addition, extensions to (super)martingales are indicated.

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