Junbin Gao

The Exact Worst-Case Tail Probability under Bounded Kurtosis

Xiaoyu Li, Andi Han, Jiaojiao Jiang, Junbin Gao

We determine exactly what a kurtosis bound buys for one-sided tail control. For the class $\mathcal{C}(κ)$ of real random variables with mean $0$, variance $1$, and fourth moment at most $κ$, the skewness left free, we compute the worst-case tail probability $V_1(t,κ)=\sup_{X\in\…Read more