An upper bound for the probability of a union

Abstract

The problem of bounding P(∪ Ai ) given P(A i) and P(A i A j) for i ≠ j = 1, …, k goes back to Boole (1854) and Bonferroni (1936). In this paper a new family of upper bounds is derived using results in graph theory. This family contains the bound of Kounias (1968), and the smallest upper bound in the family for a given application is easily derivable via the minimal spanning tree algorithm of Kruskal (1956). The properties of the algorithm and of the multivariate normal and t distributions are shown to provide considerable simplifications when approximating tail probabilities of maxima from these distributions.