A reversion of the Chernoff bound

DOI10.1016/J.SPL.2006.09.003MaRDI QIDQ886331zbMATH OpenOpenAlexFDO

Authors Ted Theodosopoulos

Publication date 26 June 2007

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 1241397 (Why is no real title available?)
• scientific article; zbMATH DE number 919361 (Why is no real title available?)
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• A Saddle Point Approximation for Certain Multivariate Tail Probabilities
• An introduction to the theory of large deviations
• Exact saddlepoint approximations
• On Deviations of the Sample Mean
• Saddlepoint Approximations in Statistics
• Saddlepoint approximations
• Tail Exactness of Multivariate Saddlepoint Approximations
• О больших и сверхбольших уклонениях сумм независимых случайных векторов при выполнении условия Крамера. I

Cited in

(2)

• Exponential tail bounds for chisquared random variables
• Singletons for simpletons revisiting windowed backoff with Chernoff bounds

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