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Exponential inequalities for tail probabilities of generalized order statistics

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Abstract

We establish exponential bounds for the probability that a generalized order statistic exceeds a given threshold or falls below a given threshold. As a main tool we apply the Bernstein inequality for sums of independent random variables.

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Authors and Affiliations

  1. Institute of Applied Mathematics and Statistics, University of Würzburg, D–97074, Würzburg, Germany

    Frank Marohn

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  1. Frank Marohn
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Correspondence to Frank Marohn.

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Received May 2003

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Marohn, F. Exponential inequalities for tail probabilities of generalized order statistics. Metrika 61, 251–260 (2005). https://doi.org/10.1007/s001840400335

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  • DOI: https://doi.org/10.1007/s001840400335

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