Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables

Yuta Tanoue*

*この研究の対応する著者

研究成果: Article査読

抄録

When addressing various financial problems, such as estimating stock portfolio risk, it is necessary to derive the distribution of the sum of the dependent random variables. Although deriving this distribution requires identifying the joint distribution of these random variables, exact estimation of the joint distribution of dependent random variables is difficult. Therefore, in recent years, studies have been conducted on the bound of the sum of dependent random variables with dependence uncertainty. In this study, we obtain an improved Hoeffding inequality for dependent bounded variables. Further, we expand the above result to the case of sub-Gaussian random variables.

本文言語English
ページ(範囲)53-60
ページ数8
ジャーナルProbability, Uncertainty and Quantitative Risk
6
1
DOI
出版ステータスPublished - 2021 3月

ASJC Scopus subject areas

  • 統計学および確率
  • 応用数学
  • 統計学、確率および不確実性

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