Some Probability Inequalities Related to the Law of Large Numbers
Tomkins, R. J.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 230-235 / Harvested from Project Euclid
Let $S_1, S_2,\cdots, S_n$ be integrable random variables (rv). Upper bounds of the Hajek-Renyi type are presented for $P(\max_{1\leqq k\leqq n} \phi_k S_k \geqq \varepsilon \mid \mathscr{G})$ where $\phi_1 \geqq \cdots \geqq \phi_n > 0$ are rv, $\varepsilon > 0$ and $\mathscr{G}$ is a $\sigma$-field. The theorems place no further assumptions on the $S_k$'s; some, in fact, do not even require the integrability. It is shown, however, that if the $S_k$'s are partial sums of independent rv or if $S_1, S_2,\cdots, S_n$ forms a submartingale, then some well-known inequalities follow as consequences of these theorems.
Publié le : 1972-02-14
Classification: 
@article{1177692715,
     author = {Tomkins, R. J.},
     title = {Some Probability Inequalities Related to the Law of Large Numbers},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 230-235},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692715}
}
Tomkins, R. J. Some Probability Inequalities Related to the Law of Large Numbers. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  230-235. http://gdmltest.u-ga.fr/item/1177692715/