Cantelli's bounds for generalized tail inequalities in Euclidean spaces
Let $X$ be a centered random vector in a finite dimensional real inner product space $\mathcal{E}$. For a subset $C$ of the ambient vector space $V$ of $\mathcal{E}$ and $x,\,y\in V$, write $x\preceq_C y$ if $y-x\in C$. When $C$ is a closed convex cone in $\mathcal{E}$, then $\preceq_C$ is a pre-ord...
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Zusammenfassung: | Let $X$ be a centered random vector in a finite dimensional real inner
product space $\mathcal{E}$. For a subset $C$ of the ambient vector space $V$
of $\mathcal{E}$ and $x,\,y\in V$, write $x\preceq_C y$ if $y-x\in C$. When $C$
is a closed convex cone in $\mathcal{E}$, then $\preceq_C$ is a pre-order on
$V$, whereas if $C$ is a proper cone in $\mathcal{E}$, then $\preceq_C$ is
actually a partial order on $V$. In this paper we give sharp Cantelli's type
inequalities for generalized tail probabilities like $\text{Pr}\{X\succeq_C
b\}$ for $b\in V$. These inequalities are obtained by ``scalarizing''
$X\succeq_C b$ via cone duality and then by minimizing the classical univariate
Cantelli's bound over the scalarized inequalities. |
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DOI: | 10.48550/arxiv.2307.03607 |