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Some Results on Tail Probabilities with Applications
of Generalized Comparison Method
Liu Guoqing,Zhang Yinlong,Wang Minhua
Harbin Instituteof Technology,Armor Technique Institute of PLA,Harbin Normal
University
We extend the comparison method and present
a new method to derive sharp closed-form semiparametric bounds on
small value probability $\pr(X\leq t)$, where $X\in[0,M]$ is a
random variable with $\ep X=m_1$ and $\ep X^2=m_2$ fixed. The proofs
of our results are elementary.