All Questions
7 questions
12
votes
2
answers
2k
views
Can we do better than Azuma-Hoeffding when the variance is small?
The Azuma-Hoeffding Inequality says that if $X_1,X_2, \ldots$ is a martingale and the differences are bounded by constants, $\|X_i - X_{i-1}\| \le 1$ say, then we should not expect the difference $\|...
- 1,955
7
votes
0
answers
759
views
Product of two random Gaussian matrices - orthant probability
Let $X \in \mathbb{R}^{m \times n}$ and $Y \in \mathbb{R}^{n \times k} $ be two independent Gaussian random matrices, i.e., with entries independently sampled from $\mathcal{N}(0,1)$ (a normal ...
- 968
5
votes
1
answer
705
views
Expectation of ratio of functions of i.i.d. Bernoullis: a concentration question
Consider the following $n \times n$ symmetric matrix of i.i.d. Bernoulli random variables, $X_{ij}$. For $i=1,...,n$ and $i<j\le n$. Let $X_{ij} \sim \text{Bernoulli}(p)$ when $i \ne j$ ($p$ fixed)...
- 123
4
votes
1
answer
431
views
Central limit theorem for resampling
This is a cross-post from stats.stackexchange.com. No answer has appeared there. Since this is a theoretical question, mathoverflow.net seems to be a more appropriate venue for it.
What is the analog ...
- 2,239
4
votes
1
answer
189
views
Sign of error in the central limit theorem
Let $X_n$ and $Y_n$ be independent copies of two random variables $X$ and $Y$ with domain $\{-1,0,1\}$ for $n\in \mathbb{N}$. For a given $k\in \mathbb{N}$, I would like to find conditions on $X$ and $...
- 53
4
votes
0
answers
162
views
Concentration Inequality for Score Functions of Exponential Familty
Let $p$ be the density of a continuous one-parameter exponential family distribution on $\mathbb{R}$. We assume that
$$p(x) = c(x)\cdot \exp\bigl [ x \cdot \theta - b(\theta ) \bigr ], $$
where $\...
- 1,127
1
vote
1
answer
233
views
Hypothesis to guarantee Lindeberg's condition
Imagine to have a set of random variables $\{ X_i \}_{i=1}^{n}$ independent (Non identically distributed). In these scenario, if the Lindeberg's condition hold we can extend the result of the CLT, i.e....
- 305