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Keywords:
tail probability; exponential family; signed log-likelihood; variance function; inequalities
tail probability; exponential family; signed log-likelihood; variance function; inequalities
Summary:
In this paper we derive various bounds on tail probabilities of distributions for which the generated exponential family has a linear or quadratic variance function. The main result is an inequality relating the signed log-likelihood of a negative binomial distribution with the signed log-likelihood of a Gamma distribution. This bound leads to a new bound on the signed log-likelihood of a binomial distribution compared with a Poisson distribution that can be used to prove an intersection property of the signed log-likelihood of a binomial distribution compared with a standard Gaussian distribution. All the derived inequalities are related and they are all of a qualitative nature that can be formulated via stochastic domination or a certain intersection property.
References:
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