Related papers: Concentration inequalities using higher moments in…
In this paper, convergence for moments of powered normal extremes is considered under an optimal choice of normalizing constants. It is shown that the rates of convergence for normalized powered normal extremes depend on the power index.…
We obtain moment and Gaussian bounds for general Lipschitz functions evaluated along the sample path of a Markov chain. We treat Markov chains on general (possibly unbounded) state spaces via a coupling method. If the first moment of the…
The weak law of large numbers implies that, under mild assumptions on the source, the Renyi entropy per produced symbol converges (in probability) towards the Shannon entropy rate. This paper quantifies the speed of this convergence for…
We show sharpened forms of the concentration of measure phenomenon centered at first order stochastic expansions. The bound are based on second order difference operators and second order derivatives. Applications to functions on the…
This paper gives upper and lower bounds on the gap in Jensen's inequality, i.e., the difference between the expected value of a function of a random variable and the value of the function at the expected value of the random variable. The…
This paper develops systematic approaches to obtain $f$-divergence inequalities, dealing with pairs of probability measures defined on arbitrary alphabets. Functional domination is one such approach, where special emphasis is placed on…
Ratios of random variables often appear in probability and statistical applications. We aim to approximate the moments of such ratios under several dependence assumptions. Extending the ideas in Collomb [C. R. Acad. Sci. Paris 285 (1977)…
We obtain dimension-free concentration inequalities for $\ell^p$-norms, $p\geq2$, of infinitely divisible random vectors with independent coordinates and finite exponential moments. Besides such norms, the methods and results extend to some…
We introduce a nonasymptotic framework for sub-Poisson distributions with moment generating function dominated by that of a Poisson distribution. At its core is a new notion of optimal sub-Poisson variance proxy, analogous to the variance…
Building on the inequalities for homogeneous tetrahedral polynomials in independent Gaussian variables due to R. Lata{\l}a we provide a concentration inequality for non-necessarily Lipschitz functions $f\colon \R^n \to \R$ with bounded…
In this note, we derive concentration inequalities for random vectors with subGaussian norm (a generalization of both subGaussian random vectors and norm bounded random vectors), which are tight up to logarithmic factors.
We present examples of $p$-sub-exponential random variables for any positive $p$. We prove two types of concentration of standard $p$-norms ($2$-norm is the Euclidean norm) of random vectors with independent $p$-sub-exponential coordinates…
We establish rigorous quantitative inequalities for the first eigenvalue of the generalized $p$-Robin problem, for both the classical diffusion absorption case, where the Robin boundary parameter $\alpha$ is positive, and the…
We obtain a Bernstein type Gaussian concentration inequality for martingales. Our inequality improves the Azuma-Hoeffding inequality for moderate deviations $x$. Following the work of McDiarmid (1989), Talagrand (1996) and Boucheron, Lugosi…
We give concentration bounds for martingales that are uniform over finite times and extend classical Hoeffding and Bernstein inequalities. We also demonstrate our concentration bounds to be optimal with a matching anti-concentration…
We study statistics dependence of the probability distributions and the means of measured moments of conserved quantities, respectively. The required statistics of all interested moments and their products are estimated based on a simple…
In decision-making problems under uncertainty, probabilistic constraints are a valuable tool to express safety of decisions. They result from taking the probability measure of a given set of random inequalities depending on the decision…
We give a simple development of the concentration properties of compound Poisson measures on the nonnegative integers. A new modification of the Herbst argument is applied to an appropriate modified logarithmic-Sobolev inequality to derive…
We use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and…
We prove that any random variable $X$ whose moment generating function is point-wise upper bounded by that of $ G \sim \mathcal{N}(0,1) $ must be dominated by $ G/\mathbb{E}[|G|] $ in convex order, meaning $ \mathbb{E}[f(X)] \le…