Sharp estimate on the supremum of a class of sums of small i.i.d. random variables

DOI10.1016/J.SPA.2015.07.016zbMATH Open1343.60021arXiv1407.1224OpenAlexW1627170349MaRDI QIDQ898400FDOQ898400

Authors: P. Major 

Publication date: 8 December 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We take an $L_1$-dense class of functions $CalF$ on a measurable space $(X,CalX)$ together with a sequence of independent, identically distributed $X$-space valued random variables $x{i}_1,dots,x{i}_n$ and give a good estimate on the tail distribution of $su{p}_{finCalF}su{m}_{j=1}^{n}f(x{i}_j)$ if the expected values $E|f(x{i}_1)|$ are very small for all $finCalF$. In a subsequent paper~[2] we shall give a sharp bound for the supremum of normalized sums of i.i.d. random variables in a more general case. But that estimate is a consequence of the results in this work.

Full work available at URL: https://arxiv.org/abs/1407.1224

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zbMATH Keywords

tail probabilitysumsi.i.d. random variables\(L_1\)-norm

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• An approximation of partial sums of independent RV's, and the sample DF. II
• Convergence of stochastic processes
• Sphere packing numbers for subsets of the Boolean \(n\)-cube with bounded Vapnik-Chervonenkis dimension
• Title not available (Why is that?)
• Uniform Central Limit Theorems
• On the estimation of multiple random integrals and \(U\)-statistics
• Sharp tail distribution estimates for the supremum of a class of sums of i.i.d. random variables

Cited In (5)

• Sharp estimation in sup norm with random design
• Title not available (Why is that?)
• Sharp tail distribution estimates for the supremum of a class of sums of i.i.d. random variables
• On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms
• Title not available (Why is that?)

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