An asymptotically Gaussian bound on the Rademacher tails

DOI10.1214/EJP.V17-2026zbMATH Open1252.60023arXiv1007.2137MaRDI QIDQ428654FDOQ428654

Authors: Iosif Pinelis 

Publication date: 22 June 2012

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

Abstract: An explicit upper bound on the tail probabilities for the normalized Rademacher sums is given. This bound, which is best possible in a certain sense, is asymptotically equivalent to the corresponding tail probability of the standard normal distribution, thus affirming a longstanding conjecture by Efron. Applications to sums of general centered uniformly bounded independent random variables and to the Student test are presented.

Full work available at URL: https://arxiv.org/abs/1007.2137

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zbMATH Keywords

large deviationsprobability inequalitiesself-normalized sumsgeneralized momentsRademacher random variablesstudent's testsums of independent random variablesTchebycheff-Markov systemsEsscher-Cramér tilt transform

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Large deviations (60F10) Nonparametric tolerance and confidence regions (62G15) Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

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• Tail-Sensitive Gaussian Asymptotics for Marginals of Concentrated Measures in High Dimension
• On the tail estimation of the norm of Rademacher sums
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• A tight Gaussian bound for weighted sums of Rademacher random variables
• A robust Khintchine inequality, and algorithms for computing optimal constants in Fourier analysis and high-dimensional geometry
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• Proof of Tomaszewski's conjecture on randomly signed sums
• On mimicking Rademacher sums in tail spaces
• Probability mass of Rademacher sums beyond one standard deviation
• Toward the best constant factor for the Rademacher-Gaussian tail comparison
• Tail bounds for empirically standardized sums
• On the supremum of the tails of normalized sums of independent Rademacher random variables
• Rademacher-Gaussian tail comparison for complex coefficients and related problems

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