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Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables. (English) Zbl 1480.60048

Summary: When addressing various financial problems, such as estimating stock portfolio risk, it is necessary to derive the distribution of the sum of the dependent random variables. Although deriving this distribution requires identifying the joint distribution of these random variables, exact estimation of the joint distribution of dependent random variables is difficult. Therefore, in recent years, studies have been conducted on the bound of the sum of dependent random variables with dependence uncertainty. In this study, we obtain an improved Hoeffding inequality for dependent bounded variables. Further, we expand the above result to the case of sub-Gaussian random variables.

MSC:

60E15 Inequalities; stochastic orderings
62P05 Applications of statistics to actuarial sciences and financial mathematics
91G70 Statistical methods; risk measures
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