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A probability inequality for sums of independent Banach space valued random variables

Probability 2017-03-24 v1

Abstract

Let (B,)(\mathbf{B}, \|\cdot\|) be a real separable Banach space. Let φ()\varphi(\cdot) and ψ()\psi(\cdot) be two continuous and increasing functions defined on [0,)[0, \infty) such that φ(0)=ψ(0)=0\varphi(0) = \psi(0) = 0, limtφ(t)=\lim_{t \rightarrow \infty} \varphi(t) = \infty, and ψ()φ()\frac{\psi(\cdot)}{\varphi(\cdot)} is a nondecreasing function on [0,)[0, \infty). Let {Vn; n1}\{V_{n};~n \geq 1 \} be a sequence of independent and symmetric {\bf B}-valued random variables. In this note, we establish a probability inequality for sums of independent {\bf B}-valued random variables by showing that for every n1n \geq 1 and all t0t \geq 0, P(i=1nVi>tbn)4P(i=1nφ(ψ1(Vi))ViVi>tan)+i=1nP(Vi>bn), \mathbb{P}\left(\left\|\sum_{i=1}^{n} V_{i} \right\| > t b_{n} \right) \leq 4 \mathbb{P} \left(\left\|\sum_{i=1}^{n} \varphi\left(\psi^{-1}(\|V_{i}\|)\right) \frac{V_{i}}{\|V_{i}\|} \right\| > t a_{n} \right) + \sum_{i=1}^{n}\mathbb{P}\left(\|V_{i}\| > b_{n} \right), where an=φ(n)a_{n} = \varphi(n) and bn=ψ(n)b_{n} = \psi(n), n1n \geq 1. As an application of this inequality, we establish what we call a comparison theorem for the weak law of large numbers for independent and identically distributed B{\bf B}-valued random variables.

Keywords

Cite

@article{arxiv.1703.07868,
  title  = {A probability inequality for sums of independent Banach space valued random variables},
  author = {Deli Li and Han-Ying Liang and Andrew Rosalsky},
  journal= {arXiv preprint arXiv:1703.07868},
  year   = {2017}
}

Comments

10 pages. arXiv admin note: substantial text overlap with arXiv:1506.07596