Exact inequalities for sums of asymmetric random variables, with applications
Document Type
Article
Publication Date
11-2007
Department
Department of Mathematical Sciences
Abstract
Let BS1,⋯,BSn be independent identically distributed random variables each having the standardized Bernoulli distribution with parameter p ∈ (0, 1). Let m*(p):=(1 + p + 2 p 2)/(2√{p - p2 + 4 p2) if 0 < p ≤ 1/2 and m*(p):= 1 if 1/2 ≤ p < 1. Let m ≥ m *(p). Let f be such a function that f and f″ are nondecreasing and convex. Then it is proved that for all nonnegative numbers c1,⋯,cn one has the inequality equation presented where equation presented. The lower bound m*(p) on m is exact for each p ∈ (0,1). Moreover, Ef(c1BS1+⋯ +cnBSn is Schur-concave in c12m,⋯,cn2m. A number of corollaries are obtained, including upper bounds on generalized moments and tail probabilities of (super)martingales with differences of bounded asymmetry, and also upper bounds on the maximal function of such (super)martingales. Applications to generalized self-normalized sums and t-statistics are given.
Publication Title
Probability Theory and Related Fields
Recommended Citation
Pinelis, I.
(2007).
Exact inequalities for sums of asymmetric random variables, with applications.
Probability Theory and Related Fields,
139(3-4), 605-635.
http://doi.org/10.1007/s00440-007-0055-4
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/4728