Concentration inequalities for smooth random fields

DOI10.1137/S0040585X9798659XMaRDI QIDQ2877886zbMATH OpenOpenAlexFDO

Authors D. Belomestny, V. G. Spokoiny

Publication date 27 August 2014

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.1565

zbMATH Keywords

concentration inequalitiesmaximal eigenvaluerandom matrixsmooth random fields

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Random fields (60G60)

Abstract: In this note we derive a sharp concentration inequality for the supremum of a smooth random field over a finite dimensional set. It is shown that this supremum can be bounded with high probability by the value of the field at some deterministic point plus an intrinsic dimension of the optimisation problem. As an application we prove the exponential inequality for a function of the maximal eigenvalue of a random matrix is proved.

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Cited in

(3)

• Concentration inequalities for functions of Gibbs fields with application to diffraction and random Gibbs measures
• Concentration inequalities for log-concave distributions with applications to random surface fluctuations
• scientific article; zbMATH DE number 7123997 (Why is no real title available?)

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