Kolmogorov-Type Maximal Inequalities for Independent and Dependent Negative Binomial Random Variables: Sharp Bounds, Sub-Exponential Refinements, and Applications to Overdispersed Count Data

TL;DR

This paper establishes sharp maximal inequalities for Negative Binomial variables, including dependent cases with sub-exponential refinements, providing new tools for analyzing overdispersed count data in various fields.

Contribution

It introduces novel Kolmogorov-type bounds for both independent and dependent Negative Binomial variables, including a new sub-exponential tail probability refinement for dependent data.

Findings

55% reduction in mean maximum deviation with dependence

Explicit control limits for NB2 model monitoring

Demonstrated practical utility with COVID-19 data

Abstract

This paper develops Kolmogorov-type maximal inequalities for sums of Negative Binomial random variables under both independence and dependence structures. For independent heterogeneous Negative Binomial variables we derive sharp Markov-type deviation inequalities and Kolmogorov-type bounds expressed in terms of Tweedie dispersion parameters, providing explicit control limits for NB2 generalized linear model monitoring. For dependent count data arising through a shared Gamma mixing variable, we establish a \emph{sub-exponential Bernstein-type refinement} that exploits the Poisson-Gamma hierarchical structure to yield exponentially decaying tail probabilities -- this refinement is new in the literature. Through moment-matched Monte Carlo experiments ($n=20$, 2{,}000 replications), we document a 55\% reduction in mean maximum deviation under appropriate dependence structures, a stabilization effect we explain analytically. A concrete epidemiological application with NB2 parameters calibrated from COVID-19 surveillance data demonstrates practical utility. These results materially advance the applicability of classical maximal inequalities to overdispersed and dependent count data prevalent in public health, insurance, and ecological modeling.