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Preprints, Working Papers, ... Year : 2017

About the rate function in concentration inequalities for suprema of bounded empirical processes

Abstract

We provide new deviation inequalities in the large deviations band-width for suprema of empirical processes indexed by classes of uniformly bounded functions associated with independent and identically distributed random variables. The improvements we get concern the rate function which is, as expected, the Legendre transform of the suprema of the log-Laplace transform of the pushforward measure by the functions of the considered class (up to an additional corrective term). Our approach is based on a decomposition in martingale together with some comparison inequalities.
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Dates and versions

hal-01587060 , version 1 (13-09-2017)
hal-01587060 , version 2 (14-09-2017)
hal-01587060 , version 3 (05-03-2020)

Identifiers

  • HAL Id : hal-01587060 , version 2

Cite

Antoine Marchina. About the rate function in concentration inequalities for suprema of bounded empirical processes. 2017. ⟨hal-01587060v2⟩
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