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单词 ProhorovInequality
释义

Prohorov inequality


Theorem (Prohorov inequality, 1959):

Let {Xi}i=1n be a collectionMathworldPlanetmath of independentPlanetmathPlanetmath randomvariablesMathworldPlanetmath satisfying the conditions:

a) E[Xi2]< i, so that one can write i=1nE[Xi2]=v2
b) Pr{|Xi|M}=1  i.

Then, for any ε0,

Pr{i=1n(Xi-E[Xi])>ε}exp[-ε2Marsinh(εM2v2)]
Pr{|i=1n(Xi-E[Xi])|>ε}2exp[-ε2Marsinh(εM2v2)]

(See here (http://planetmath.org/AreaFunctions) for the meaning of arsinh(x))

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更新时间:2025/5/4 5:26:25