Generalizations of maximal inequalities to arbitrary selection rules

We present a generalization of the maximal inequalities that upper bound the expectation of the maximum of n jointly distributed random variables. We control the expectation of a randomly selected random variable from n jointly distributed random variables, and present bounds that are at least as tight as the classical maximal inequalities, and much tighter when the distribution of selection index is near deterministic. A new family of information theoretic measures was introduced in the process, which may be of independent interest.