Uniformly accurate quantile bounds for sums of arbitrary independent random variables

DOI10.1007/S10959-009-0254-2MaRDI QIDQ616267zbMATH OpenOpenAlexFDO

Authors 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

universal boundsmaximum of independent random variablessum of independent random variablesupper quantiles

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Recommendations

• Uniform bounds on the relative error in the approximation of upper quantiles for sums of arbitrary independent random variables
• Uniformly accurate quantile bounds via the truncated moment generating function: the symmetric case
• Approximation of partial sums of arbitrary i. i. d. random variables and the precision of the usual exponential upper bound
• Estimates of the Moments of Sums of Independent Random Variables
• On inequalities for sums of bounded random variables

Cites work

• A method of approximating expectations of functions of sums of independent random variables
• A symmetrization-desymmetrization procedure for uniformly good approximation of expectations involving arbitrary sums of generalized \(U\)-statistics.
• An optimal bound on the tail distribution of the number of recurrences of an event in product spaces
• 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

Cited in

(3)

• Uniformly accurate quantile bounds via the truncated moment generating function: the symmetric case
• ON QUANTILES OF SUMS
• Uniform bounds on the relative error in the approximation of upper quantiles for sums of arbitrary independent random variables

This page was built for publication: Uniformly accurate quantile bounds for sums of arbitrary independent random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q616267)