A remark on Dubins--Savage inequality

Rasul A. Khan

Statistics & Probability Letters, 1992, vol. 13, issue 3, 189-192

Abstract: Let {Xn, n, n [greater-or-equal, slanted] 0} be a martingale difference sequence with E(Xn[short parallel]n-1) = 0 and Vn = E(X2n[short parallel]n-1) 0, b > 0. The famous Dubins--Savage inequality P(Sn [greater-or-equal, slanted] b + a(V1 + ... + Vn) for some n [greater-or-equal, slanted] 1) [less-than-or-equals, slant] 1/(1 + ab) is improved and a few variations are given.

Keywords: Martingale; difference; inequality; independence; strong; law; of; large; numbers (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (1)

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