Uniform comparison of tails of (non-symmetric) probability measures and their symmetrized counterparts with applications

DOI10.1007/S10959-006-0050-1MaRDI QIDQ877234zbMATH OpenOpenAlexFDO

Authors Balram S. Rajput, Kavi Rama-Murthy

Publication date 19 April 2007

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

Full work available at URL https://doi.org/10.1007/s10959-006-0050-1

zbMATH Keywords

log concave probability measures semistable stable Tail probability

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Infinitely divisible distributions; stable distributions (60E07)

Review text

This paper deals with tail probability comparison. Let \(M\) be a class of probability measures on a Banach space \((\mathbb{B},\|\cdot\|)\). Denoting by \(\overline\mu\) the symmetrization of \(\mu\), the authors provide two sufficient conditions for the following tail comparison ineqalities; \[ \tau\mu(\{\kappa\| x\|> t\}\leq\overline\mu(\{\| x\|> t\})\leq 2\mu(\{2\| x\|> t\}),\quad\forall t> 0, \] with some positive constants \(\tau\) and \(\kappa\), independent of \(\mu\in M\). As a corollary, they extend three classical results (the Lévy-type inequalities, the Kwapien-contraction inequality and a part of the Itô-Nisio theorem) to some class of non-symmetric independent \(\mathbb{B}\)-valued random variables, including the class of centered log-concave random variables, as well as stable or semistable ones. Several valuable examples are presented.

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