How can we prove the tail bound for a standard Gaussian random variable?

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  • Thread starter Euge
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    2017
In summary, the tail bound for a standard Gaussian random variable is a measure of its likelihood to take on values far from its mean. Proving this bound is significant for understanding the variable's behavior and making statistical inferences. It can be proved using mathematical techniques, but there are assumptions and limitations. This bound can be applied in practical situations, such as hypothesis testing and risk assessment, to assess model performance and identify outliers.
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Euge
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Here is this week's POTW:

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Suppose $Z$ is a standard Gaussian random variable. Prove $\Bbb P(\lvert Z\rvert \ge z) = O[\exp(-z^2/2)]$ as $z\to \infty$.-----

Remember to read the http://www.mathhelpboards.com/showthread.php?772-Problem-of-the-Week-%28POTW%29-Procedure-and-Guidelines to find out how to http://www.mathhelpboards.com/forms.php?do=form&fid=2!
 
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  • #2
This week's problem was answered correctly by johng. You can read his solution below.

Let $d=1/\sqrt{2\pi}$. Then
$$P(|Z|\geq z)=d\int_{-\infty}^{-z}e^{-x^2/2}dx+d\int_{z}^{\infty}e^{-x^2/2}dx=1-2d\int_{0}^{z}e^{-x^2/2}dx$$
Then
$$\lim_{z\to\infty}{P(|Z|\geq z)\over e^{-z^2/2}}$$
is an indeterminate form 0/0. L'hopital's rule applies and this limit is then
$$\lim_{z\to\infty}{-2de^{-z^2/2}\over -ze^{-z^2/2}}=\lim_{z\to\infty}{2d\over z}=0$$

So definitely then
$$P(|Z|\geq z)=O(e^{-z^2/2})$$

Here is my solution as well.

By symmetry, $$P(\lvert Z\rvert \ge z) = \frac{2}{\sqrt{2\pi}}\int_z^\infty \exp\left(-\frac{x^2}{2}\right)\, dx$$

For all $z > 2/\sqrt{2\pi}$, the right-hand side of the above equation is no greater than

$$\int_z^\infty x\exp\left(-\frac{x^2}{2}\right)\, dx = \exp\left(-\frac{z^2}{2}\right)$$

Hence, $P(\lvert Z \rvert \ge z) = O[\exp(-z^2/2)]$ as $z\to \infty$.
 

FAQ: How can we prove the tail bound for a standard Gaussian random variable?

How is the tail bound for a standard Gaussian random variable defined?

The tail bound for a standard Gaussian random variable is a measure of how likely it is for the variable to take on values that are far from its mean. It is typically expressed as a probability or a range of values within which the variable is expected to fall with a certain level of confidence.

What is the significance of proving the tail bound for a standard Gaussian random variable?

Proving the tail bound for a standard Gaussian random variable is important for understanding the behavior of the variable and making statistical inferences. It can also be used to assess the accuracy of statistical models and to determine the appropriate sample size for a given study.

How can we prove the tail bound for a standard Gaussian random variable?

The tail bound for a standard Gaussian random variable can be proved using mathematical techniques such as integration, probability theory, and statistical analysis. This involves manipulating the properties of the Gaussian distribution and applying mathematical inequalities to bound the tail probabilities.

Are there any assumptions or limitations in proving the tail bound for a standard Gaussian random variable?

Yes, there are certain assumptions and limitations in proving the tail bound for a standard Gaussian random variable. These may include assumptions about the distribution, sample size, and independence of the random variable. Additionally, certain mathematical techniques may only provide approximations rather than exact solutions.

How can we apply the tail bound for a standard Gaussian random variable in practical situations?

The tail bound for a standard Gaussian random variable can be applied in various practical situations, such as hypothesis testing, confidence intervals, and risk assessment. It can also be used in machine learning and data analysis to identify outliers and assess the performance of predictive models.

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