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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1961 Volume 6, Issue 1, Pages 106–108 (Mi tvp4754)

This article is cited in 33 papers

Short Communications

On the Increase of Dispersion of Sums of Independent Random Variables

B. A. Rogozin

Moscow

Abstract: Let $\xi_1,\xi_2,\dots,\xi_n$ be independent random variables,
$$Q_k\{l\}=\mathop{\sup}\limits_x\mathbf P\{x\leq\xi _k\leq x+l\},\\Q(L)=\mathop{\sup}\limits_x\mathbf P\{{x\leq\xi_1+\cdots+\xi_n\leq x+L}\},\quad s=\sum\limits_{k+1}^n{(1-Q_k(l_k)})l_k^2$$

Theorem 1. If $L>\max l_2$, then
$$Q(L)\leq\frac{CL}{l\sqrt s},$$
where $C$ is an absolute constant.
Special cases of this theorem correspond to the results of [1]–[4].

Received: 12.06.1960


 English version:
Theory of Probability and its Applications, 1961, 6:1, 97–99


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