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Sudakov's lower bound type inequality for supremum of Chi-squared random variables
Let $\varepsilon$ be $n$-dimensional standard Gaussian veector, i.e., $\varepsilon \sim N_n(0, I_n)$. Let $\mathcal{P}$ be a subset of symmetric projection matrices in $\mathbb{R}^{n \times n}$ with $|...
4
votes
1
answer
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Uniform inequality of the form $\text{Proba}(\sup_{v \in [-M,M]^k}|p^Tv-\hat{p}_n^Tv| \le \epsilon_n) \ge 1 - \delta$
Let $M > 0$, $k$ be a positive integer, and $\mathcal V:=[-M,M]^k$. Finally, let $p \in \Delta_k$, (where $\Delta_k$ is the $(k-1)$-dimensional probability simplex) and let $\hat{p}_n$ be an ...