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1
vote
Anti-concentration of inner product of a uniform unit norm vector with another vector
Replacing $b$ by $b/\|a\|_2$, we may assume WLOG that $\|a\|_2=1$. Let $R$ be a rotation matrix that maps $a$ to $v=(1,0,\ldots,0)^T$. Then $a^Tx=R(a)^T R(X)=v^T R(X)$, which has the same distribution …
2
votes
Vector version of concentration of Lipschitz functions on sphere (Levy's Lemma)
One can avoid the $n$-dependence. Let $H$ be a Hilbert space, endowed with the norm
$\|\cdot\|$.
Given $f:\mathbb{S}^{d-1}\to H$ which is $L$-Lipschitz, the goal is to prove a concentration inequalit …
0
votes
Accepted
Concentration inequality for a function whose parameter depends on input samples
If $f_\theta(x)$ is a Lipschitz function of $X$ then standard concentration inequalities for Lipschitz functions (e.g. Mcdiarmid's inequality, see for instance https://people.eecs.berkeley.edu/~bartl …
2
votes
Bounded difference functions and sub-Gaussian random variables
The implication goes the other way.
The "standard" inequality you quote, usually called McDiarmid's inequality
is derived from the second inequality that you ask about. See e.g. http://empslocal.ex.a …
1
vote
Accepted
Finite-sample deviation bound of empirical distribution from true distribution
I will answer the question as stated though I am not sure you wanted to square the norm of $P_n-P$. Let $e_1,\ldots,e_k$ be the standard basis of ${\bf R}^k$. Write $\mu:=\sum_{j=1}^k p_j e_j$. Let $d …
2
votes
Accepted
(Novel?) notion of concentration/dispersion
The function you propose is related to the L'evy concentration function,
studied by Kolmogorov, Rogozin, Esseen
and others. See the special volume [1] https://link.springer.com/chapter/10.1007/97 …
2
votes
Accepted
DKW inequality for $L^1$-norm
The exponent 2 on $\epsilon$ cannot be improved by passing to the $L^1$ norm. Consider $X_i$ i.i.d. uniform in $[0,1]$. Let $C$ be a constant, and denote $\varepsilon_n= C/\sqrt{n}$. Let $A_n $ be the …
2
votes
Exponential inequality for the sum of martingale differences $X_1, \dots, X_n$ when $\sum_{i...
Here is a simple counter example to the original question with $B=y=1$, which also gives an alternative proof of Theorem 2 from Iosif Pinelis' answer. Let $\{R_i\}_{1 \le i \ge n}$ be independent Ra …
2
votes
Accepted
Concentration of monochromatic edges in a graph
Such an estimate cannot hold in general. Here are two different counterexamples:
Consider a complete bipartite graph with $n/2$ nodes on each side and $m=n^2/4$ edges.
Take $q$ bounded, e.g. $q=2$. …
3
votes
Concentration and anti-concentration of gap between largest and second largest value in Gaus...
Let $\Phi(r)=P(X_1>r)$. Then for $s<t$ we have
$$P(X_{(1)}<t, \; X_{(2)}<s)=\Phi(s)^n+n(\Phi(t)-\Phi(s))\cdot \Phi(s)^{n-1}$$
and from this one can obtain the exact distribution of $X_{(1)}- X_{(2)}$. …
11
votes
Accepted
Concentration bounds for martingales with adaptive Gaussian steps
Observe that $X_n=X_{n-1}(1+Z_n)$ where $\{Z_k\}_{k \ge 1}$ are i.i.d. standard normal. Hence to analyze the asymptotic distribution of $|X_n|$, pass to logarithms, to get $$\log(|X_n|)= \log(|X_1|) + …
6
votes
Accepted
Polynomial Markov versus Chernoff Bound for random variables
Let $b$ denote the LHS. Expanding $e^{\lambda X}$ in a power series you can deduce that
$$E(e^{\lambda X}) \ge \sum_{k \ge 0} \frac {b \lambda^k \delta^k}{k!}=b e^{\lambda \delta} \,.$$
1
vote
On the concentration of Lipschitz functions near its expectation, where the vector has ident...
If $f$ is the sum and all the components are identical then the inequality fails for $t=n$.
0
votes
Concentration inequality of joint event over time of a submartingale
There are better bounds than the Azuma-Hoeffding bound for the tail probability of a Martingale . A good starting point is the classical inequality of Freedman (1975) [1]. But in the union bound for y …
4
votes
Bernstein Inequality for continous local martingale
You can use the Bernstein inequality along a discrete skeleton and then pass to the limit using continuity.