Moment and Probability Bounds with Quasi-Superadditive Structure for the Maximum Partial Sum
Moricz, F. A. ; Serfling, R. J. ; Stout, W. F.
Ann. Probab., Tome 10 (1982) no. 4, p. 1032-1040 / Harvested from Project Euclid
Let $X_1, \cdots, X_n$ be arbitrary random variables and put $S(i, j) = X_i + \cdots + X_j$ and $M(i, j) = \max \{|S(i, i)|, |S(i, i + 1)|, \cdots, |S(i, j)|\}$ for $1 \leq i \leq j \leq n$. Bounds for $E\{\exp tM (1, n)\}, E M^\gamma(1, n)$ and $P\{M(1, n) \geq t\}$ are established in terms of assumed bounds for $E \{\exp t|S(i, j)|\}, E|S(i, j)|^\gamma$ and $P\{|S(i, j)| \geq t\}$, respectively. The bounds explicitly involve a nonnegative function $g(i, j)$ assumed to be quasi-superadditive with index $Q(1 \leq Q \leq 2): g(i, j) + g(j + 1, k) \leq Q g(i, k)$, all $1 \leq i \leq j < k \leq n$. Results previously established for the case $Q = 1$ are improved and are extended to the case $1 < Q < 2$. When $g(i, j)$ is given by $\operatorname{Var} S(i, j)$, applications of the case $Q > 1$ include sequences $\{X_i\}$ exhibiting long-range dependence, in particular certain self-similar processes such as fractional Brownian motion.
Publié le : 1982-11-14
Classification:  Fluctuation of sums,  moment inequalities,  probability inequalities,  quasi-superadditivity,  60G99
@article{1176993724,
     author = {Moricz, F. A. and Serfling, R. J. and Stout, W. F.},
     title = {Moment and Probability Bounds with Quasi-Superadditive Structure for the Maximum Partial Sum},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 1032-1040},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993724}
}
Moricz, F. A.; Serfling, R. J.; Stout, W. F. Moment and Probability Bounds with Quasi-Superadditive Structure for the Maximum Partial Sum. Ann. Probab., Tome 10 (1982) no. 4, pp.  1032-1040. http://gdmltest.u-ga.fr/item/1176993724/