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Volume 4, Issue 1, Article 15 |
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A Bound on the Deviation Probability for Sums of Non-Negative Random Variables
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Authors: |
Andreas Maurer, |
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Keywords:
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Deviation bounds, Bernstein's inequality, Hoeffdings inequality. |
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Date Received:
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13/12/02 |
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Date Accepted:
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08/01/03 |
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Subject Codes: |
60G50,60F10
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Editors: |
Terry M. Mills, |
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Abstract: |
A simple bound is presented for the probability that the sum of nonnegative independent random variables is exceeded by its expectation by more than a positive number t. If the variables have the same expectation the bound is slightly weaker than the Bennett and Bernstein inequalities, otherwise it can be significantly stronger. The inequality extends to one-sidedly bounded martingale difference sequences.
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