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THE MOMENT BOUND IS TIGHTER THAN CHERNOFFS BOUND FOR POSITIVE TAIL PROBABILITIES
被引：30
作者：
PHILIPS, TK
NELSON, R
机构：
[1] IBM RETIREMENT FUND,STAMFORD,CT 06904
[2] IBM CORP,THOMAS J WATSON RES CTR,DIV RES,YORKTOWN HTS,NY 10598
关键词：
CHERNOFFS BOUND;
EXPONENTIAL OVERBOUND;
MOMENT BOUND;
TAIL PROBABILITY;
D O I：
10.2307/2684633
中图分类号：
O21 [概率论与数理统计];
C8 [统计学];
学科分类号：
020208 ;
070103 ;
0714 ;
摘要：
Chernoff's bound on P[X greater than or equal to t] is used almost universally when a tight bound on tail probabilities is required, In this article we show that for all positive t and for all distributions, the moment bound is tighter than Chernoff's bound. By way of example, we demonstrate that the improvement is often substantial.
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页码：175 / 178
页数：4
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