Sharp large deviation results for sums of independent random variables

DOI10.1007/S11425-015-5049-6MaRDI QIDQ887376zbMATH OpenOpenAlexFDO

Authors Xiequan Fan, Ion Grama, Quansheng Liu

Publication date 26 October 2015

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.2592

zbMATH Keywords

Bahadur-Rao expansionBennett's inequalityBernstein's inequalityHoeffding's inequalitylarge deviations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Abstract: We show sharp bounds for probabilities of large deviations for sums of independent random variables satisfying Bernstein's condition. One such bound is very close to the tail of the standard Gaussian law in certain case; other bounds improve the inequalities of Bennett and Hoeffding by adding missing factors in the spirit of Talagrand (1995). We also complete Talagrand's inequality by giving a lower bound of the same form, leading to an equality. As a consequence, we obtain large deviation expansions similar to those of Cram'{e}r (1938), Bahadur-Rao (1960) and Sakhanenko (1991). We also show that our bound can be used to improve a recent inequality of Pinelis (2014).

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Cited in

(14)

• Sharp inequality for randomly stopped sums of independent non-negative random variables
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