On inequalities for sums of bounded random variables

Iosif Pinelis

Published 2006-03-01, updated 2006-03-13Version 3

Let $\eta_{1},\eta_2,...$ be independent (not necessarily identically distributed) zero-mean random variables (r.v.'s) such that $|\eta_i|\le1$ almost surely for all $i$, and let $Z$ stand for a standard normal r.v. Let $a_1,a_2,...$ be any real numbers such that $a_1^2+a_2^2+...=1.$ It is shown that then $$ \P(a_1\eta_1+a_2\eta_2+...\ge x) \le \P(Z\ge x-\la/x) \forall x>0, $$ where $\la := \ln\frac{2e^3}9=1.495...$. The proof relies on (i) another probability inequality and (ii) a l'Hospital-type rule for monotonicity, both developed elsewhere. A multidimensional analogue of this result is given, based on a dimensionality reduction device, also developed elsewhere. In addition, extensions to (super)martingales are indicated.