An Inequality for Large Deviation Probabilities of Sums of Bounded i.i.d. Random Variables

Abstract

We provide precise bounds for tail probabilities, say ℙ{M n ⩾ x}, of sums M n of bounded i.i.d. random variables. The bounds are expressed through tail probabilities of sums of i.i.d. Bernoulli random variables. In other words, we show that the tails are sub-Bernoullian. Sub-Bernoullian tails are dominated by Gaussian tails. Possible extensions of the methods are discussed.