Cantelli's bounds for generalized tail inequalities in Euclidean spaces

arXiv2307.03607MaRDI QIDQ6442972FDOQ6442972

Nicola Apollonio

Publication date: 7 July 2023

Abstract: Let $X$ be a centered random vector in a finite dimensional real inner product space $mathcalE$. For a subset $C$ of the ambient vector space $V$ of $mathcalE$ and $x,,yinV$, write $xprece{q}_{C}y$ if $y-xinC$. When $C$ is a closed convex cone in $mathcalE$, then $prece{q}_C$ is a pre-order on $V$, whereas if $C$ is a proper cone in $mathcalE$, then $prece{q}_C$ is actually a partial order on $V$. In this paper we give sharp Cantelli's type inequalities for generalized tail probabilities like $extPrXsucce{q}_{C}b$ for $binV$. These inequalities are obtained by ``scalarizing $Xsucce{q}_{C}b$ via cone duality and then by minimizing the classical univariate Cantelli's bound over the scalarized inequalities.

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