Local tail bounds for functions of independent random variables
Devroye, Luc ; Lugosi, Gábor
Ann. Probab., Tome 36 (2008) no. 1, p. 143-159 / Harvested from Project Euclid
It is shown that functions defined on {0, 1, …, r−1}n satisfying certain conditions of bounded differences that guarantee sub-Gaussian tail behavior also satisfy a much stronger “local” sub-Gaussian property. For self-bounding and configuration functions we derive analogous locally subexponential behavior. The key tool is Talagrand’s [Ann. Probab. 22 (1994) 1576–1587] variance inequality for functions defined on the binary hypercube which we extend to functions of uniformly distributed random variables defined on {0, 1, …, r−1}n for r≥2.
Publié le : 2008-01-14
Classification:  Concentration inequalities,  convex distance,  configuration functions,  hypercontractivity,  Talagrand’s inequality,  60F10
@article{1196268676,
     author = {Devroye, Luc and Lugosi, G\'abor},
     title = {Local tail bounds for functions of independent random variables},
     journal = {Ann. Probab.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 143-159},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1196268676}
}
Devroye, Luc; Lugosi, Gábor. Local tail bounds for functions of independent random variables. Ann. Probab., Tome 36 (2008) no. 1, pp.  143-159. http://gdmltest.u-ga.fr/item/1196268676/