Uniform bounds on the relative error in the approximation of upper quantiles for sums of arbitrary independent random variables

DOI10.1007/S10959-015-0615-YzbMath1364.60054OpenAlexW1813109360MaRDI QIDQ501825

Krzysztof Nowicki, Michael J. Klass

Publication date: 10 January 2017

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

Full work available at URL: https://doi.org/10.1007/s10959-015-0615-y

zbMATH Keywords

independent random variablestail probabilitiestail distributionssumsquantile approximation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistics of extreme values; tail inference (62G32) Sums of independent random variables; random walks (60G50)

Cites Work

• Uniformly accurate quantile bounds for sums of arbitrary independent random variables
• A method of approximating expectations of functions of sums of independent random variables
• Approximation of partial sums of arbitrary i. i. d. random variables and the precision of the usual exponential upper bound
• Estimation of moments of sums of independent real random variables
• Lower tail probability estimates for subordinators and nondecreasing random walks
• Measuring the magnitude of sums of independent random variables
• Uniformly accurate quantile bounds via the truncated moment generating function: the symmetric case
• Unnamed Item

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