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Suppose $X_i$s are independent random variables. We can make assumptions about $X_i$, e.g., $X_i\in [0,1]$. Let $X=\sum_i X_i$ and $u=E[X]$. Is there any result of the following type (relating one tail probability with another tail)? E.g.,

For some constant $1<L<L'$, $$\mathbb P[X > L' u] \leq c \cdot\mathbb P[X > Lu]$$ for some constant $c<1$ (which may depend on $L$ and $L'$).

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  • $\begingroup$ If they were iid continuous (or discrete), then your question could be posed in terms of the hazard function. An additional assumption of something like increasing failure rate would pull in results from classical reliability theory. $\endgroup$
    – guest
    Commented Apr 20, 2014 at 10:59

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