| Issue |
ESAIM: PS
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
|
|
|---|---|---|
| Page(s) | 412 - 426 | |
| DOI | https://doi.org/10.1051/ps:2007027 | |
| Published online | 17 August 2007 | |
Toward the best constant factor for the Rademacher-Gaussian tail comparison
Department of Mathematical Sciences,
Michigan Technological University,
Houghton, Michigan 49931 USA; ipinelis@mtu.edu
Received:
7
June
2006
Revised:
2
November
2006
It is proved that the best constant factor in the Rademacher-Gaussian tail comparison is between two explicitly defined absolute constants c1 and c2 such that c2≈1.01 c1. A discussion of relative merits of this result versus limit theorems is given.
Mathematics Subject Classification: 60E15 / 62G10 / 62G15 / 60G50 / 62G35
Key words: Probability inequalities / Rademacher random variables / sums of independent random variables / Student's test / self-normalized sums.
© EDP Sciences, SMAI, 2007
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