相关论文: Self-normalized moderate deviation and laws of the…

Expectile regression is a nice tool for investigating conditional distributions beyond the conditional mean. It is well-known that expectiles can be described with the help of the asymmetric least square loss function, and this link makes…

In this paper, by using the representation theorem for sublinear expectations, we give a simple proof to obtain two inequalities about the sample mean for independent random vectors under sublinear expectations.

In this paper, we investigate a central limit theorem for weighted sums of independent random variables under sublinear expectations. It is turned out that our results are natural extensions of the results obtained by Peng and Li and Shi.

There has been recent interest in the conditional central limit question for (strictly) stationary, ergodic processes $...,X_{-1},X_0,X_1,...$ whose partial sums $S_n=X_1+...+X_n$ are of the form $S_n=M_n+R_n$, where $M_n$ is a square…

Motivated by practical applications, recent works have considered maximization of sums of a submodular function $g$ and a linear function $\ell$. Almost all such works, to date, studied only the special case of this problem in which $g$ is…

The Generalized Central Limit Theorem is a remarkable generalization of the Central Limit Theorem, showing that the sum of a large number of independent, identically-distributed (i.i.d) random variables with infinite variance may converge…

We utilize an ergodic theory framework to explore sublinear expectation theory. Specifically, we investigate the pointwise Birkhoff's ergodic theorem for invariant sublinear expectation systems. By further assuming that these sublinear…

Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters…

We show that the distribution of self-normalized sums of free self-adjoint random variables converges weakly to Wigner's semicircle law under appropriate conditions and estimate the rate of convergence in terms of the Kolmogorov distance.…

This article relaxes the integrability condition imposed in the literature for the robust $\alpha$-stable central limit theorem under sublinear expectation. Specifically, for $\alpha \in(0,1]$, we prove that the normalized sums of i.i.d.…

Let $G, G_1,\dots,G_N$ be independent copies of a standard gaussian random vector in $\mathbb{R}^d$ and denote by $\Gamma = \sum_{i=1}^N \langle G_i,\cdot\rangle e_i$ the standard gaussian ensemble. We show that, for any set $A\subset…

We propose a general yet simple theorem describing the convergence of SGD under the arbitrary sampling paradigm. Our theorem describes the convergence of an infinite array of variants of SGD, each of which is associated with a specific…

The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We…

We prove a law of the iterated logarithm (LIL) for an infinite sum of independent indicators parameterized by $t$ as $t\to\infty$. It is shown that if the expectation $b$ and the variance $a$ of the sum are comparable, then the…

In this work, we investigate the question of how knowledge about expectations $\mathbb{E}(f_i(X))$ of a random vector $X$ translate into inequalities for $\mathbb{E}(g(X))$ for given functions $f_i$, $g$ and a random vector $X$ whose…

Given a bounded class of functions G and independent random variables X1, . . . , Xn, we provide an upper bound for the expectation of the supremum of the empirical process over elements of G having a small variance. Our bound applies in…

The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability of some random variables to a constant and a weak convergence…

This paper deals with multidimensional dynamic risk measures induced by conditional $g$-expectations. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical…

Let $(X_1,\dots,X_m)$ be self-adjoint non-commutative random variables distributed according to the free Gibbs law given by a sufficiently regular convex and semi-concave potential $V$, and let $(S_1,\dots,S_m)$ be a free semicircular…

We study the law of the iterated logarithm (LIL) for the maximum likelihood estimation of the parameters (as a convex optimization problem) in the generalized linear models with independent or weakly dependent ($\rho$-mixing, $m$-dependent)…