Inequalities for the Law of Large Numbers
Kurtz, Thomas G.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1874-1883 / Harvested from Project Euclid
Let $X_1, X_2, X_3, \cdots$ be independent random variables and $a_1, a_2, a_3, \cdots$ positive real numbers. Define $F(t) = \sup_k P\{|X_k| > t\}$ and $S_m = \sum^m_{k=1} a_k X_k.$ Inequalities of the form $P\{\sup_m|S_m| > \delta\} \leqq C \sum_k \int^1_0 \varphi'(u)F(u/a_k) du$ are given for a large class of functions $\varphi$, as well as inequalities of a somewhat different form that are appropriate for considering exponential convergence rates. Examples of how the inequalities can be used to prove rate theorems are also given.
Publié le : 1972-12-14
Classification: 
@article{1177690858,
     author = {Kurtz, Thomas G.},
     title = {Inequalities for the Law of Large Numbers},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1874-1883},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177690858}
}
Kurtz, Thomas G. Inequalities for the Law of Large Numbers. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1874-1883. http://gdmltest.u-ga.fr/item/1177690858/