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Let $X = B(n, p)$ and $Y = B(k, q)$ be two random variables with binomial distribution and, let $s$ be a positive integer. Assume that $n > k+s$ and $np \geq kq+s$.

What is the probability for $X$ to be greater than $Y+s$, i.e. $\Pr[X-Y > s]$? (A good lower-bound might be helpful)

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  • $\begingroup$ Duplicate question. See mathoverflow.net/questions/15909/… $\endgroup$ Commented Aug 13, 2018 at 13:01
  • $\begingroup$ @BrendanMcKay In that question $n$ equals $k$ and there is no $s$. Therefore the answer in irrelevant to this question. $\endgroup$ Commented Aug 13, 2018 at 13:07
  • $\begingroup$ Depends on the regime. I think a good heuristic is that if $s \leq O(\sqrt{kq})$ then the probability may be constant (and hard to approximate easily?), while otherwise, you can just use tail bounds for $Pr[|X-np| > s/2]$ and $Pr[|Y-kq| > s/2]$. $\endgroup$
    – usul
    Commented Aug 13, 2018 at 14:53

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$\newcommand{\R}{\mathbb{R}} \renewcommand{\P}{\operatorname{\mathsf P}} \newcommand{\de}{\delta} \newcommand{\be}{\beta}$

I think the best bet here is to use the Berry--Esseen inequality for the binomial distribution. Let $X_1:=X$, $X_2:=Y$, $p_1:=p$, $q_1:=1-p_1$, $p_2:=q$, $q_2:=1-q_1$, $n_1:=n$, $n_2:=k$. Let $U_1$ and $U_2$ be independent normal random variables (r.v.'s) with the first two moments matching those of $X_1$ and $X_2$, respectively. By Theorem 1.4, \begin{equation} \sup_{x\in\R}|\P(X_j\le x)-\P(U_j\le x)|\le c\be_3(p_j)/\sqrt{n_j}=:\de(n_j,p_j), \end{equation} where \begin{equation} c:=0.4215,\quad\be_3(p_j):=\frac{p_j^2+q_j^2}{\sqrt{p_jq_j}}; \end{equation} everywhere here $j=1,2$. Hence, \begin{align*} \P(X-Y>s)&=\int_\R\P(X-y> s)\P(Y\in dy) \\ &\ge\int_\R\P(U_1-y> s)\P(Y\in dy)-\de(n_1,p_1) \\ &=\P(U_1-Y> s)-\de(n_1,p_1) \\ & =\int_\R\P(u-Y> s)\P(U_1\in du)-\de(n_1,p_1) \\ & \ge\int_\R\P(u-U_2> s)\P(U_1\in du)-\de(n_2,p_2)-\de(n_1,p_1) \\ & =\P(U_1-U_2> s)-\de(n_2,p_2)-\de(n_1,p_1)=:L. \end{align*} Note here also that $U_1-U_2$ is a normal r.v. with mean $np-kq\ge s$ and variance $np(1-p)+kq(1-q)$. So, $\P(U_1-U_2\ge s)\ge1/2$ and the lower bound $L$ on $\P(X-Y>s)$ should work well if $np(1-p)$ and $kq(1-q)$ are large enough.

Quite similarly, one can also obtain an upper bound on $\P(X-Y>s)$: \begin{equation} \P(X-Y>s)=\P(X-Y\ge s+1)\le\P(U_1-U_2\ge s+1)+\de(n_2,p_2)+\de(n_1,p_1). \end{equation}

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  • $\begingroup$ I need a bound in general case, even where n and k are very small. $\endgroup$ Commented Aug 15, 2018 at 11:22
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    $\begingroup$ When $n$ and $k$ are small, it is easy to compute the probability in question exactly. However, even for the simpler case of the binomial-$(n,p)$ distribution, there are no general bounds that would be good in the entire range of the distribution, both for large and small values of $np(1-p)$, to the best of my knowledge (and I have dealt with the binomial distribution quite a bit). $\endgroup$ Commented Aug 15, 2018 at 15:55

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