Inequalities for Linear Combinations of Gamma Random Variables.
STANFORD UNIV CA DEPT OF STATISTICS
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This document studies the behavior of the tail probabilities of weighted averages of certain i.i.d. random variables as the weights are varied. We show that the upper and lower tails are smallest when all the weights are equal. Our results apply to exponential, chi-square, gamma and Weibull random variables.
- Statistics and Probability