Uniformly accurate quantile bounds for sums of arbitrary independent random variables

DOI10.1007/s10959-009-0254-2zbMath1210.60045MaRDI QIDQ616267

Michael J. Klass, Krzysztof Nowicki

Publication date: 7 January 2011

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

Full work available at URL: https://doi.org/10.1007/s10959-009-0254-2

zbMATH Keywords

sum of independent random variables; universal bounds; maximum of independent random variables; upper quantiles

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60G50: Sums of independent random variables; random walks

46E30: Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.)

Cites Work

• 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
• An optimal bound on the tail distribution of the number of recurrences of an event in product spaces
• Lower tail probability estimates for subordinators and nondecreasing random walks
• A symmetrization-desymmetrization procedure for uniformly good approximation of expectations involving arbitrary sums of generalized \(U\)-statistics.
• Measuring the magnitude of sums of independent random variables
• Uniformly accurate quantile bounds via the truncated moment generating function: the symmetric case