Uniformly accurate quantile bounds via the truncated moment generating function: The symmetric case
(2007) In Electronic Journal of Probability 12. p.12761298 Abstract
 Let X1, X2,... be independent and symmetric random variables such that Sn = X1+...+ Xn converges to a finite valued random variable S a. s. and let S* = sup(1 <= n <infinity) Sn (which is finite a.s.). We construct upper and lower bounds for s(y) and s(y)*, the upper 1/y((th) under bar) quantile of Sy and S*, respectively. Our approximations rely on an explicitly computable quantity ((q) under bar)y for which we prove that 1/2 (q) under bar (y/2) < s(y)(*) < 2 (q) under bar (2y) and 1/2 (q) under bar (y/4(1+root 18/y) < s(y) < 2 (q) under bar (2y). The RHS's hold for y >= 2 and the LHS's for y >= 94 and y >= 97, respectively. Although our results are derived primarily for symmetric random variables, they... (More)
 Let X1, X2,... be independent and symmetric random variables such that Sn = X1+...+ Xn converges to a finite valued random variable S a. s. and let S* = sup(1 <= n <infinity) Sn (which is finite a.s.). We construct upper and lower bounds for s(y) and s(y)*, the upper 1/y((th) under bar) quantile of Sy and S*, respectively. Our approximations rely on an explicitly computable quantity ((q) under bar)y for which we prove that 1/2 (q) under bar (y/2) < s(y)(*) < 2 (q) under bar (2y) and 1/2 (q) under bar (y/4(1+root 18/y) < s(y) < 2 (q) under bar (2y). The RHS's hold for y >= 2 and the LHS's for y >= 94 and y >= 97, respectively. Although our results are derived primarily for symmetric random variables, they apply to nonnegative variates and extend to an absolute value of a sum of independent but otherwise arbitrary random variables. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/record/655371
 author
 Klass, Michael J. and Nowicki, Krzysztof ^{LU}
 organization
 publishing date
 2007
 type
 Contribution to journal
 publication status
 published
 subject
 in
 Electronic Journal of Probability
 volume
 12
 pages
 1276  1298
 publisher
 UNIV WASHINGTON, DEPT MATHEMATICS
 external identifiers

 wos:000250196100001
 scopus:35548937413
 ISSN
 10836489
 language
 English
 LU publication?
 yes
 id
 4f5204a99f584e42ba3a43d94da1df6a (old id 655371)
 alternative location
 http://www.math.washington.edu/~ejpecp/viewarticle.php?id=1741&layout=abstract
 date added to LUP
 20071212 14:35:46
 date last changed
 20180529 12:08:13
@article{4f5204a99f584e42ba3a43d94da1df6a, abstract = {Let X1, X2,... be independent and symmetric random variables such that Sn = X1+...+ Xn converges to a finite valued random variable S a. s. and let S* = sup(1 <= n <infinity) Sn (which is finite a.s.). We construct upper and lower bounds for s(y) and s(y)*, the upper 1/y((th) under bar) quantile of Sy and S*, respectively. Our approximations rely on an explicitly computable quantity ((q) under bar)y for which we prove that 1/2 (q) under bar (y/2) < s(y)(*) < 2 (q) under bar (2y) and 1/2 (q) under bar (y/4(1+root 18/y) < s(y) < 2 (q) under bar (2y). The RHS's hold for y >= 2 and the LHS's for y >= 94 and y >= 97, respectively. Although our results are derived primarily for symmetric random variables, they apply to nonnegative variates and extend to an absolute value of a sum of independent but otherwise arbitrary random variables.}, author = {Klass, Michael J. and Nowicki, Krzysztof}, issn = {10836489}, language = {eng}, pages = {12761298}, publisher = {UNIV WASHINGTON, DEPT MATHEMATICS}, series = {Electronic Journal of Probability}, title = {Uniformly accurate quantile bounds via the truncated moment generating function: The symmetric case}, volume = {12}, year = {2007}, }