Abstract:
The paper proves the strengthening of the known Prokhorov inequality for sums of independent uniformly bounded random variables. An analogous inequality is proved for tails of infinitely divisible distribution functions whose spectral functions are concentrated on some segment.
Keywords:
random variable, martingale-difference, filtration, infinitely divisible distribution function, spectral function.
Citation:
V. M. Kruglov, “Strengthening of Prokhorov's arcsine-inequality”, Teor. Veroyatnost. i Primenen., 50:4 (2005), 767–774; Theory Probab. Appl., 50:4 (2006), 677–684
This publication is cited in the following 3 articles:
Wellner J.A., “The Bennett-Orlicz Norm”, Sankhya Ser. A, 79:2, SI (2017), 355–383
Maller R.A., “Strong Laws At Zero For Trimmed Levy Processes”, Electron. J. Probab., 20 (2015), 88, 1–24
Victor M. Kruglov, “Complete Convergence for Maximal Sums of Negatively Associated Random Variables”, Journal of Probability and Statistics, 2010 (2010), 1