Timeline for Rate of convergence in the Law of Large Numbers
Current License: CC BY-SA 3.0
3 events
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| Apr 16, 2015 at 4:22 | comment | added | Taha | Well, I am pretty sure someone should have derived the concentration inequalities for heavy-tail distributions. I tried to look at this: Robust Estimation of High-Dimensional Mean Regression, but their lemmas require me to read the entire paper to understand. I'll look into the robust statistic literature to see what I can find. | |
| Apr 16, 2015 at 0:29 | comment | added | Anthony Quas | Thanks @Taha. So I think Bernstein inequalities are based on exponential moments (which diverge in my setting); I was unable to pick out useful results from the paper by the French authors either. | |
| Apr 15, 2015 at 23:59 | history | answered | Taha | CC BY-SA 3.0 |