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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1993 Volume 38, Issue 3, Pages 645–652 (Mi tvp4001)

This article is cited in 1 paper

Short Communications

Inequalities for concentration of a decomposition

B. A. Rogozin

Omsk State University

Abstract: For a measure $P$ defined on the $\sigma $-algebra $B$ of Borel sets of the real line with Lebesgue measure $L$, the concentration functions
$$ Q({P,z})=\sup_{x \in R}\mathbf{P}({[{x,x + z})}), \qquad \widehat Q({P,z})=\sup\{{\mathbf{P}(A):L(A)\le z,A\in\mathcal{B}}\} $$
and the concentration function of the decomposition $\widehat P$:
\begin{align*} \widehat P({[{-z,0})})&=\widehat P({({0,z}]})=(\widehat Q(P,2z)-\widehat Q(P,0))/2, \qquad z > 0, \\ \widehat P({\{0\}})&=\widehat Q({P,0}). \end{align*}
are introduced.It is proved that if the finite measures $P_k $ and $T_k $ satisfy $\widehat Q(P_k ,z) \le \widehat Q(T_k ,z), k = 1, \ldots ,n$, then $\widehat Q(P_1 * \cdots * P_n ,z) \le Q(\widehat P_1 * \cdots * \widehat P_n ,z) \le Q(\widehat T_1 * \cdots * \widehat T_n ,z)$.

Keywords: concentration function, concentration function of a decomposition, inequalities for distribution convolutions.

Received: 12.08.1991


 English version:
Theory of Probability and its Applications, 1993, 38:3, 556–562

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