Bounding the maximum of dependent random variables
نویسندگان
چکیده
منابع مشابه
Bounding the Maximum of Dependent Random Variables
Abstract: Let Mn be the maximum of n zero-mean gaussian variables X1, .., Xn with covariance matrix of minimum eigenvalue λ and maximum eigenvalue Λ. Then, for n ≥ 70, Pr{Mn ≥ λ (2 logn− 2.5− log(2 logn− 2.5)) 1 2 − .68Λ} ≥ 1 2 . Bounds are also given for tail probabilities other than 1 2 . Upper bounds are given for tail probabilities of the maximum of dependent identically distributed variabl...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2014
ISSN: 1935-7524
DOI: 10.1214/14-ejs974