You are here: Home :: Area NEM :: Mathematics

O. Kurbanmuradov, K. Sabelfeld

Exponential bounds for the probability deviations of sums of random fields

Non-asymptotic exponential upper bounds for the deviation probability for a sum of independent random fields are obtained under Bernstein's condition and assumptions formulated in terms of Kolmogorov's metric entropy. These estimations are constructive in the sense that all the constants involved are given explicitly. In the case of moderately large deviations, the upper bounds have optimal log-asymptotices. The exponential estimations are extended to the local and global continuity modulus for sums of independent samples of a random field. The motivation of the present study comes mainly from the dependence Monte Carlo methods.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 12, 10/2006
Pages: 211 - 229

Show full article (external site)

Show all available items of this journal

 

Area NEM