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Teoriya Veroyatnostei i ee Primeneniya, 1979, Volume 24, Issue 3, Pages 632–636 (Mi tvp2653)  

Short Communications

Probability inequalities for series of independent random variables

S. N. Antonov

Gorky
Abstract: Let $\xi_k$ ($k=1,2,\dots$) be independent random variables, $\mathbf E\xi_k=0$, $\mathbf D\xi_k=1$. The probability inequalities are obtained for the sum $\xi$ of the series $\displaystyle\sum_{k=1}^{\infty}a_k\xi_k$. The theorem 1 states that
$$ \mathbf P\{|\xi|\ge x\}\le 2\,\exp\{-C_{\lambda} x^{\lambda/(\lambda-1)}\} $$
if the summands have «a large value with a small probabilities» and $\displaystyle\sum_{k=1}^{\infty}|a_k|^{\lambda}<\infty$ ($1<\lambda\le 2$). The theorem 2 ascertains the accuracy of bound (1): the exponent $\lambda/(\lambda-1)$ of $x$ cannot be more than $\beta/(\beta-1)$ if the exponent of convergence of sequence $\{a_k\}$ equals to $\beta$.
Received: 07.12.1977
English version:
Theory of Probability and its Applications, 1980, Volume 24, Issue 3, Pages 636–640
DOI: https://doi.org/10.1137/1124078
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: S. N. Antonov, “Probability inequalities for series of independent random variables”, Teor. Veroyatnost. i Primenen., 24:3 (1979), 632–636; Theory Probab. Appl., 24:3 (1980), 636–640
Citation in format AMSBIB
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\by S.~N.~Antonov
\paper Probability inequalities for series of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1979
\vol 24
\issue 3
\pages 632--636
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\transl
\jour Theory Probab. Appl.
\yr 1980
\vol 24
\issue 3
\pages 636--640
\crossref{https://doi.org/10.1137/1124078}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1979KT89400022}
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