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A reversion of the Chernoff bound

Author

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  • Theodosopoulos, Ted

Abstract

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.

Suggested Citation

  • Theodosopoulos, Ted, 2007. "A reversion of the Chernoff bound," Statistics & Probability Letters, Elsevier, vol. 77(5), pages 558-565, March.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:5:p:558-565
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    References listed on IDEAS

    as
    1. O. E. Barndorff‐Nielsen & C. Kluppelberg, 1999. "Tail Exactness of Multivariate Saddlepoint Approximations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(2), pages 253-264, June.
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