Sharp large deviation probabilities for sums of independent bounded random variables

Authors Xiequan Fan, Ion Grama, Quansheng Liu

Publication date 12 June 2012

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

Abstract: We obtain some optimal inequalities on tail probabilities for sums of independent bounded random variables. Our main result completes an upper bound on tail probabilities due to Talagrand by giving a one-term asymptotic expansion for large deviations. This result can also be regarded as sharp large deviations of types of Cram'er and Bahadur-Ranga Rao.

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