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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1980 Volume 25, Issue 1, Pages 178–183 (Mi tvp1045)

This article is cited in 15 papers

Short Communications

Inequalities for the concentration function

A. L. Mirošnikov, B. A. Rogozin

Novosibirsk

Abstract: Let $\xi_1,\dots,\xi_n$ be independent random variables, $S_n=\xi_1+\dots+\xi_n$. The concentration function $Q(\xi,\lambda)$ of a random variable $\xi$ is defined by
$$ Q(\xi,\lambda)=\sup_x\,\mathbf P\{x\le\xi\le x+\lambda\},\qquad \lambda>0. $$
We prove, that there exists a universal constant $C<\infty$ such that for any $n$ and arbitrary $\lambda_1,\dots,\lambda_n\in(0,2L]$
$$ Q(S_n,L)\le CL\biggl( \sum_{k=1}^n\mathbf{M}\biggl(|\xi_k^s|\wedge\frac{\lambda_k}2\biggr)^2Q^{-2}(\xi_k,\lambda_k)\biggr)^{-1/2}, $$
where $\xi^s_k$ t is the symmetrization of $\xi_k$ and $a\wedge b=\min (a,b)$.

Received: 19.12.1978


 English version:
Theory of Probability and its Applications, 1980, 25:1, 176–180

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