All Questions
91 questions
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221
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Beating the $1/\sqrt n$ rate of uniform-convergence over a linear function class
Let $P$ be a probability distribution on $\mathbb R^d \times \mathbb R$, and let $(x_1,y_1), \ldots, (x_n,y_n)$ be an iid sample of size $n$ from $P$. Fix $\epsilon,t\gt 0$. For any unit-vector $w \in ...
- 6,853
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2
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250
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Finite-sample deviation bound of empirical distribution from true distribution
Let $P=(p_1,\ldots,p_k) \in \Delta_k$ be distribution supported on set of size $k$ and let $\hat{P}_n$ be an empirical version of $P$ based on an iid sample of size $n$.
Question
What's a good non-...
- 6,853
1
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2
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332
views
Anti-concentration of gaussian variable
Let $X$ be $\mathcal{N}(\mu,\sigma^2)$ gaussian. Its expectation $\mu$ is positive. Can we derive a lower bound on
$$\mathbb{P}(X\geq\epsilon)\geq g(\epsilon,\mu,\sigma) \text{ where } \epsilon\leq\mu$...
- 405
1
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1
answer
223
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Bound error in approximating $E_x [H(f(x))]$ with random $(1/n) \sum_{i=1}^n \Phi(f(x_i)/h)$ where $H$ is Heaviside function and $\Phi$ is normal CDF
Let $f:\mathbb R^d \to \mathbb R$ be a "sufficiently smooth" function. For simplicity, we may consider $f$ to be an affine function, i.e $f(x) \equiv b-x^\top w$, for some $(w,b) \in \mathbb ...
- 6,853
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1
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137
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Approximate $\log \mathbb E_P[\exp(th(x)]$ for a function $h$ which is lipschitz and has finite moments of order 1 and 2 w.r.t $P$
Let $P$ be a probability measure on a space $\mathcal X$ and $h: \mathcal X \rightarrow \mathbb R$ is measurable function with finite moments of order 1 and 2. I'm interested in approximating the ...
- 6,853
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1
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229
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Gaussian width of intersection of cube and ball in high-dimensional euclidean space
Let $d$ be a large positive integer and fix $r \ge 0$. Set $S := B_2^n \cap [-r,r]^d$, where $B_2^d$ is the euclidean unit-ball in $\mathbb R^d$. Finally, let $\omega(S)$ be the Gaussian width of $S$, ...
- 6,853
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1
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475
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Convergence of quadratic form $y^T Q y$ where $y$ is a random iid sequence of length $n$ and $Q$ is an $n \times n$ random matrix independent of $y$
For each positive integer, let $Q_n=(q_{i,j})_{i,j \in [n]}$ be a random $n \times n$ psd matrix. In the limit $n \to \infty$, suppose the eigenvalues of this sequence of matrices are uniformly ...
- 6,853
1
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1
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365
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Lower-bound probability of non-centered quadratic form
Let $X\sim N(\mu,\sigma^2I)\in \mathbb{R}^n$ be a non-centered ($\mu\neq 0$) Gaussian vector with independent coordinates. I'm wondering if there is any sharp lower bound of the following probability:
...
- 1,495
1
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1
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467
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Sharp tail bounds for the maximum of an iid sample of a random variable supported on $[0, 1]$
Let $X_1,\ldots,X_n$ be an iid sample from a distribution supported on $[0, 1]$.
Question
What are some sharp concentration inequalities (i.e tail bounds) empirical statistic defined by $Z_n := \max(...
- 6,853
1
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1
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249
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On concentration of a sum random variable
Take a random variable defined as
$$r=u_{11}v_{1}v_{1}+u_{12}v_{1}v_{2}+\dots+u_{n,n-1}v_{n}v_{n-1}+u_{nn}v_{n}v_{n}$$ where $v_{i}$ are independent uniform random variables from $\{0,\dots,b\}$, $u_{...
- 13.9k
1
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1
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191
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Concentration inequality for square roots
Given a sequence of (not-necessarily-iid) real-valued random variables $X_n$ that converge to $a\in\mathbb{R}$ in probability, suppose we have an exponential concentration inequality of the form
$$
P(|...
- 13
1
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1
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216
views
Rademacher complexity of function class $(x,y) \mapsto 1[|yf(x)-\alpha| \ge \beta]$ in terms of $\alpha$, $\beta$, and Rademacher complexity of $F$
Let $X$ be a measurable space and let $P$ be a probability distribution on $X \times \{\pm 1\}$. Let $F$ be a function class on $X$, i.e., a collection of (measurable) functions from $X$ to $\mathbb R$...
- 6,853
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1
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104
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Limiting value of $\dfrac{1_n^\top B^{-1} A B^{-1} 1_n}{d}$, where $A=WW^\top + a I_n$, $B = WW^\top + b I_n$, and $W \sim N(0,\Sigma_d)$
Let $n$ and $d$ be positive integers with
$$
n,d \to \infty, \quad n/d \to \rho \in (0,\infty).
$$
Let $\Sigma_d$ be a psd matrix such that
$\mbox{trace}(\Sigma_d) = 1$.
$\|\Sigma_d\|_{op} = \mathcal ...
- 6,853
1
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1
answer
144
views
Bounds for the extreme singular-values of random matrix with thresholded entries
Let $n,d,k$ be large positive integers such that $\max(n/d,k/d) =: \lambda < 1$. Let $X$ be a random $n \times d$ matrix with entries drawn iid from $N(0,1/d)$ and let $W$ be a $k \times d$ random ...
- 6,853
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1
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141
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Central limit theorem for chi-squared random field on $\mathbb R^p$
Let $X:x \mapsto X(x)$ be a centered stationary Gaussian process on the $\Omega:=\mathbb R^p$, such that $X(x) \overset{d}{=}X(x')$ for all $x,x' \in \Omega$. Set $\sigma^2 := \mbox{Var}(X(0)) = \...
- 6,853
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1
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313
views
Bounds on difference between "logsumexp" and variance?
Let $Z$ be a random variable with finite moment-generating function $M_Z(\theta):=E[e^{\frac{1}{\theta}Z}]<\infty$ for all $\theta > 0$, and for $\delta \in (0,1]$, define
$C_Z^\delta := \inf_{\...
- 6,853
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1
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118
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What is the order of the left tail of a mixture of non-central chi-square?
Let $\mu\sim N(0,1)$, $Z\sim N(\mu,1)$. Then $Z$ can be viewed as a mixture of Gaussians. It can also be viewed as a Gaussian but there is a prior for the mean.
Let $X\sim\exp(\lambda)$ where the ...
- 1,495
1
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1
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122
views
Variance bound of a functional
$X_1,\ldots,X_n$ are i.i.d standard normal random variables.
$a_1,\ldots, a_n$ are constants with $a_i \in [\kappa_1, \kappa_2]$ for all $i$ and $\kappa_1>0$.
$\hat c_n$ is given as the solution ...
1
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0
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57
views
Limiting value of expectation of trace of truncated Gram matrix
Let $n$ and $d$ be large positive integers such that $d/n = a \in (0,1)$, fixed. Let $x_1,\ldots,x_n$ be iid random vectors from $N(0,I_d)$. Fix $b \in (0,1]$ and a unit-vector $v \in \mathbb R^d$, ...
- 6,853
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1
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153
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Minimax estimation rate of sparse vector $w_\star$, w.r.t to mixed norm $\|\hat w_n-w_\star\| := \|\hat w_n - w_\star\|_2 + \|\hat w_n-w_\star\|_q$
Let $n,d,s$ be positive integers with $s \le d$, and let $B_0(d,s)$ be the set of all (real) $d$-dimensional vectors with at most $s$ nonzero components. Given an $n \times d$ matrix $X$ with rows $...
- 6,853
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1
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160
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Given iid $w_1,\dotsc,w_N \sim N(0,1/d)$ iid, find a simple matrix $A$ s.t $\|aa^T-A\|_\text{op}\to0$, where $a_i := E_{G \sim N(0,1)}[f(\|w_i\| G)]$
Let $d$ and $N$ be two large comparable integers, for example assume
$$
N,d \to \infty, \quad d/N \to \gamma \in (0,\infty).
$$
Let $w_1,\dotsc,w_N$ be iid from $N(0,(1/d)I_d)$ and let $f:\mathbb R \...
- 6,853
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0
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349
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Tail bounds for random Gaussian chaos?
Let $g = (g_1, \dots, g_d)$ be a sequence of independent standard Normal random variables, and suppose $\Sigma$ is a $d \times d$ (deterministic), real, symmetric, positive definite matrix. The Hanson-...
- 420
1
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1
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415
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Approximate the singular values of a certain random dot-product kernel matrix (in the sense of El Karoui, Cheng-Singer, etc.)
Let $g:\mathbb R \to \mathbb R $ be a continuous function which is
"sufficiently smooth" (e.g $\mathcal C^3$) around $0$, and
"sufficiently integrable" (e.g integrable w.r.t $N(0,...
- 6,853
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0
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68
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(Anti-)concentration of gap between largest and second largest component of multivariate random gaussian vector
Let $n$ be a large positive integer and let $Y=(Y_1,\ldots,Y_n)$ be a zero-centered random $n$-dmensional real vector with covariance matrix $\Sigma$, an $n$-by-$n$ positive definite matrix with ...
- 6,853
1
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1
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261
views
Concentration inequality for a function whose parameter depends on input samples
Concentration inequalities can be used to establish results such as sample mean cannot be too far from the actual population mean, and so on. For example, let $X_1 \ldots X_n$ be i.i.d instances of a ...
- 615
1
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0
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334
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Strong data-processing inequality ? Upper bound on a certain modified total-variation metric
Let $\mathcal X=(\mathcal X,d)$ be a Polish space equipped with the Borel sigma-algebra. Let $p\ge 1$ and $P_1,P_2$ be probability distributions on $\mathcal X$ such that $\max_{k=1,2}\int d(x,x_0)^...
- 6,853
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123
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Sanov-type finite-sample bound on $KL(P\|\hat{P}_n)$
Let $P$ be a distribution on an alphabet of size $k$ and let $\hat{P}_n$ be an empirical version of $P$ via $n$ i.i.d samples $a_1,\ldots,a_n \sim P$, i.e $\hat{P}_n := (1/n)\sum_{i=1}^n\delta_{a_i}$.
...
- 6,853
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0
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376
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Anti-concentration bounds for folded normal and inverse of gaussian variables
Are there any easy to use bounds on sums of the following kind :
$$
\sum_{i = 1}^{i = N} |a_i| \geq P \\
a_i \sim \mathcal{N}(0, 1) \\
$$
and also for sums of the form :
$$
\sum_{i = 1}^{i = M} \...
- 111
1
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0
answers
98
views
Small ball probabilities for functions of correlated normals
Let $f : \mathbb{R}^k \rightarrow \mathbb{R}$ and let $X$ be distributed k-dimensional normal with mean $0$ (with "arbitrary" covariance matrix). I am looking for references with bounds of the form: ...
- 111
0
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1
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231
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Concentration inequalities for random sampling without replacement
Let a population $C$ consist of $N$ values $c_1, c_2, \cdots, c_N$, with $c_i\in \{0,1\}$. Let $X_1, X_2, \cdots, X_n$ denote a random sample without replacement from $C$ and let $Y_1, Y_2, \cdots, ...
- 105
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1
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110
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Positivity of linear combination of gaussian variables
Consider a collection of independent standard Gaussian variables $w_i$ for $i = 1, 2, \ldots, N$. Define its linear combination $f:=\sum_{i=1}^Na_iw_i+b_i$, where $a_i=pb_i$ ($p$ is a fixed parameter),...
- 49
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1
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108
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On the invertibility of $Z^\top Z$, where $Z$ is a Random matrix with concentrated weakly correlated entries
Let $d$, $n$, and $m$ be large positive integers. Let $X=(x_1,\ldots,x_n) \in \mathbb R^{n \times d}$ be a random matrix iid rows from some distribition $P$ on $\mathbb R^d$ which admits a density. ...
- 6,853
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1
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58
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Good upper-bound for $\mathbb E_A[e^{-t\|A\|_2}]$, for $t\ge0$ and random m by n matrix with iid entries with law $N(0,1)$
Let $A$ be a random $m$-by-$n$ matrix with iid $N(0,1)$ entries, $m$ and $n$ large with $n/m \longrightarrow \alpha \in (0, 1)$ . Let $\|A\|_2$ be the largest singular value of $A$ (i.e the spectral ...
- 6,853
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1
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140
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Tail bounds for the absolute difference of a coupled pair of sub-Gaussian random variables
Let $P$ and $Q$ are sub-Gaussian distributions on $\mathbb R$, and $(X,X')$ be a coupling of $P$ and $Q$, i.e $(X,X') \sim \pi$ for some distribution on $\mathbb R^2$ with marginals $P$ and $Q$.
...
- 6,853
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1
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239
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Anti-concentration: upper bound for $P(\sup_{a \in \mathbb S_{n-1}}\sum_{i=1}^na_i^2Z_i^2 \ge \epsilon)$
Let $\mathbb S_{n-1}$ be the unit sphere in $\mathbb R^n$ and $z_1,\ldots,z_n$ be a i.i.d sample from $\mathcal N(0, 1)$.
Question
Given $\epsilon > 0$ (may be assumed to be very small), what is ...
- 6,853
0
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0
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44
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Large Deviation Principle for an adaptive sampling rule for Multi Armed Bandits
Consider the following adaptive strategy for sampling from a Multi Armed Bandit with $K$ arms:
Split the $T$ rounds into $N (\in \mathbb{N})$ disjoint intervals. Each interval is indexed by $i=1,2,\...
- 9
0
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1
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108
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RMT for modified Wishard matrix $Y'Y$ (where $i$th row of $Y$ is zero if $|x_i^\top u| \le \theta$; else it equals $x_i$)
Let $n$ and $d$ be positive integers tending to infinity such that $d/n \to \phi \in (0,\infty)$. Let $X$ be an $n \times d$ random matrix with iid rows $x_1,\ldots,x_n$ from $N(0, \Sigma)$, where $\...
- 6,853
0
votes
0
answers
195
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Upper-bound for bracketing number in terms of VC-dimension
Let $P$ be a probability distribution on a measurable space $\mathcal X$ (e.g;, some euclidean $\mathbb R^m$) and let $F$ be a class of funciton $f:\mathcal X \to \mathbb R$. Given, $f_1,f_2 \in F$, ...
- 6,853
0
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0
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221
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Distance between two sample quantiles
Let $X_1,\dots X_n$ be i.i.d. samples from an unknown distribution. We know the distribution has uniformly bounded probability density function $f(x)$. Let $1>\tau_1>\tau_2>0$ be two quantile ...
- 323
0
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0
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58
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Bounds on $\inf_{x,x' \in \mathbb B_X}TV(P+x,Q+x')$, where $P$ and $Q$ are distributions with density on the space $X=(\mathbb R^n,\ell_p)$
Let $n \ge 1$ be an integer, $p \in [1,\infty]$, and $P$ and $Q$ be two (probability) measures on the metric space space $X=(\mathbb R^n,\ell_p)$ which have densities w.r.t the Lebesgue measure on $X$,...
- 6,853
0
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0
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102
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Probability of random variable being lesser than the other
Say there are two independent random variables, $X$ and $Y$, and we have samples $\{x_1,\dots x_n\},\{y_1,\dots y_n\}$. I am interested in bounding the probability of the event $C = \mathbb{1}_{X<Y}...
- 197