Extremal properties of sums of Bernoulli random variables

We build optimal exponential bounds for the probabilities of large deviations of sums Sn=[summation operator]1n Xi of independent Bernoulli random variables from their mean n[mu]. These bounds depend only on the sample size n. Our results improve previous results obtained by Hoeffding and, more recently, by Talagrand. We also prove a global stochastic order dominance for the Binomial law and shows how this gives a new explanation of Hoeffding's results.

MoreLess

Year of publication:	2003
Authors:	León, Carlos A. ; Perron, François
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 62.2003, 4, p. 345-354
Publisher:	Elsevier
Keywords:	Large deviations Convex ordering Bernoulli random variables

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138141