A reversion of the Chernoff bound

DOI10.1016/J.SPL.2006.09.003zbMATH Open1117.60017arXivmath/0501360OpenAlexW2045423581MaRDI QIDQ886331FDOQ886331

Ted Theodosopoulos

Publication date: 26 June 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: This paper describes the construction of a lower bound for the tails of general random variables, using solely knowledge of their moment generating function. The tilting procedure used allows for the construction of lower bounds that are tighter and more broadly applicable than existing tail approximations.

Full work available at URL: https://arxiv.org/abs/math/0501360

zbMATH Keywords

saddlepoint approximationexponential tiltingtail boundscumulant Legendre transform

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Large deviations (60F10) Approximations to statistical distributions (nonasymptotic) (62E17) Boundary theory for Markov processes (60J50)

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Cited In (1)

• Singletons for simpletons revisiting windowed backoff with Chernoff bounds

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