English

Chernoff's bound forms

Probability 2012-08-27 v1 Statistics Theory Statistics Theory

Abstract

Chernoff's bound binds a tail probability (ie. Pr(Xa)Pr(X \ge a), where aEXa \ge EX). Assuming that the distribution of XX is QQ, the logarithm of the bound is known to be equal to the value of relative entropy (or minus Kullback-Leibler distance) for II-projection P^\hat P of QQ on a set H{P:EPX=a}\mathcal{H} \triangleq \{P: E_PX = a\}. Here, Chernoff's bound is related to Maximum Likelihood on exponential form and consequently implications for the notion of complementarity are discussed. Moreover, a novel form of the bound is proposed, which expresses the value of the Chernoff's bound directly in terms of the II-projection (or generalized II-projection).

Keywords

Cite

@article{arxiv.math/0306326,
  title  = {Chernoff's bound forms},
  author = {M. Grendar, and M. Grendar},
  journal= {arXiv preprint arXiv:math/0306326},
  year   = {2012}
}

Comments

M. Grendar, Jr. and M. Grendar, ``Chernoff's bound forms,'' in Bayesian inference and Maximum Entropy methods in Science and Engineering, edited by Ch. Williams, AIP Conference Proceedings 659, Melville, New York, 2003, pp. 67-72