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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 …
Yuval Peres's user avatar
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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 …
Yuval Peres's user avatar
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0 votes
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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 …
Yuval Peres's user avatar
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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 …
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1 vote
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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 …
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2 votes
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(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 …
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2 votes
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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 …
Yuval Peres's user avatar
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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 …
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2 votes
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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. $q=2$. …
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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 $X_{(1)}- X_{(2)}$. …
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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|) + …
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6 votes
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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 $$E(e^{\lambda X}) \ge \sum_{k \ge 0} \frac {b \lambda^k \delta^k}{k!}=b e^{\lambda \delta} \,.$$
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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 $t=n$.
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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 …
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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.
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