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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

6 votes
1 answer
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Deviation bound for the maximum of the norm of Wiener process

Let $W(t)$ be an $n$-dimensional Wiener process. Denote by $\chi_n^2$ a chi-squared random variable with $n$ degrees of freedom. I have recently found the following inequality given without proof: $$ …
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