Mill's Inequality Explained

Mill's Inequality is a useful tail bound on Normally distributed random variables.The looser bound shows the exponential shape. Compare this to the Chernoff bound:[1]

\operatorname{P}(|Z|>t)\le2\exp(-t2/2)

References

  1. Web site: Ma . Xuezhe . Probability Inequalities 10/36-705 Intermediate Statistics Lecture Notes 2 .

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