Concentration of measures via size-biased couplings (Q718869): Difference between revisions
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Latest revision as of 12:13, 4 July 2024
scientific article
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English | Concentration of measures via size-biased couplings |
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Concentration of measures via size-biased couplings (English)
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27 September 2011
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Let \(Y\) be a nonnegative random variable with mean \(\mu\) and finite positive variance \(\sigma^2,\) and let \(Y^s,\) defined on the same probability space as \(Y,\) have the \(Y\) size-biased distribution, characterized by the equality \[ E(Yf(Y))=\mu Ef(Y^s) \] for all functions \(f\) for which these expectations exist. Under a variety of conditions on \(Y\) and the coupling of \(Y\) and \(Y^s\) the one sided concentration of measure ineaqualities of the type \[ P\left (\frac{Y-\mu}{\sigma}\geq t\right )\leq \exp \left ( \frac{t^2}{2(A+Bt)}\right ) \] for all \(t\geq 0\) and some explicit \(A\) and \(B\) are derived.
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Large deviations
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size-biased couplings
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Stein's method
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