Tail inequalities for restricted classes of discrete random variables

preprint2021arXivOpen access

Abstract

Let XX be an integrable discrete random variable over {0,1,2,…}\{0, 1, 2, \ldots\} with P(X=i+1)≤P(X=i)\mathbb{P}(X = i + 1) \leq \mathbb{P}(X = i) for all ii. Then for any integer a≥1a \geq 1, P(X≤a)≤E[X]/(2a−1)\mathbb{P}(X \leq a) \leq \mathbb{E}[X] / (2a - 1). Let WW be an discrete random variable over {…,−2,−1,0,1,2,…}\{\ldots, -2, -1, 0, 1, 2, \ldots\} with finite second moment where the P(W=i)\mathbb{P}(W = i) values are unimodal. Then P(∣W−E[W]∣≥a)≤(V(W)+1/12)/(2(a−1/2)2)\mathbb{P}(|W - \mathbb{E}[W]| \geq a) \leq (\mathbb{V}(W) + 1 / 12) / (2(a - 1 / 2)^2).

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