6
votes
0answers
288 views

Bounding the probability that a random variable is maximal

Suppose we have $N$ independent random variables $X_1$, $\ldots$, $X_N$ with finite means $\mu_1 \leq \ldots \leq \mu_N$ and variances $\sigma_1^2$, $\ldots$, $\sigma_N^2$. I am looking for ...
3
votes
2answers
981 views

tight bounds on probability of sum of laplace random variables.

Are there tight upper and lower bounds on the density of the sum of $n$ i.i.d laplace random variables that depend on $n$ and the individual laplacian densities?
1
vote
1answer
286 views

Lower bound on the convergence rate of a specific Markov chain

I have a Markov chain $\mathbf{A} = (A_0, A_1, \ldots)$ with state space $\{0, \ldots, n\}$ which converges towards a stationary distribution $\pi$. There are a lot of well-known results on ...