A Reversion of the Chernoff Bound

This paper describes the construction of a lower bound for the tails of general random variables, using solely knowledge of their moment generating function. The tilting procedure used allows for the construction of lower bounds that are tighter and more broadly applicable than existing tail approxi...

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Published in:arXiv.org 2005-02
Main Author: Theodosopoulos, Ted
Format: Article
Language:English
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Random variables
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description This paper describes the construction of a lower bound for the tails of general random variables, using solely knowledge of their moment generating function. The tilting procedure used allows for the construction of lower bounds that are tighter and more broadly applicable than existing tail approximations.
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subjects Random variables
title A Reversion of the Chernoff Bound
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