English

On maximal tail probability of sums of nonnegative, independent and identically distributed random variables

Probability 2016-02-12 v1 Combinatorics

Abstract

We consider the problem of finding the optimal upper bound for the tail probability of a sum of kk nonnegative, independent and identically distributed random variables with given mean xx. For k=1k=1 the answer is given by Markov's inequality and for k=2k=2 the solution was found by Hoeffding and Shrikhande in 1955. We solve the problem for k=3k=3 as well as for general kk and x1/(2k1)x\leq1/(2k-1) by showing that it follows from the fractional version of an extremal graph theory problem of Erd\H{o}s on matchings in hypergraphs.

Keywords

Cite

@article{arxiv.1602.03547,
  title  = {On maximal tail probability of sums of nonnegative, independent and identically distributed random variables},
  author = {Tomasz Łuczak and Katarzyna Mieczkowska and Matas Šileikis},
  journal= {arXiv preprint arXiv:1602.03547},
  year   = {2016}
}