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Publication
American Statistician
Paper
The moment bound is tighter than chernoff’s bound for positive tail probabilities
Abstract
Chemoff’s bound on P[X ≥ t] is used almost universally when a tight bound on tail probabilities is required. In this article we show that for all positive t and for all distributions, the moment bound is tighter than Chemoff’s bound. By way of example, we demonstrate that the improvement is often substantial. © Taylor & Francis Group, LLC.