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

maximum of independent random variablessum of independent random variablesuniversal boundsupper quantiles

Mathematics Subject Classification ID

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

Review text

For sums and for the maximum of \(n\) independent random variables, the authors provide universal upper and lower bounds on the upper quantiles of the cited quantities.

Recommendations

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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

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