Some deviation inequalities
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Publication:1190132
Abstract: We introduce a concentration property for probability measures on , which we call Property~(); we show that this property has an interesting stability under products and contractions (Lemmas 1,~2,~3). Using property~(), we give a short proof for a recent deviation inequality due to Talagrand. In a third section, we also recover known concentration results for Gaussian measures using our approach.}
The author gives short proofs of a deviation inequality of Talagrand and of some concentration results for Gaussian measures as e.g. Pisier's inequality, \(E\exp{\lambda \over \sqrt{2}}(\varphi(X)-\varphi(Y))\leq e^{\lambda^ 2/2}\) for all real \(\lambda\) and independent Gaussian vectors with independent components and Lipschitzian's \(\varphi\). The proofs are based on stability properties of the ``property \((\tau)\) of a pair \((\mu,w)\) defined by the class of inequalities \((\int e^{\varphi\square w}d\mu)(\int e^{-\varphi}d\mu)\leq 1\) for all bounded \(\varphi\); \(\varphi\square w\) denoting the infimal convolution on \(\mathbb{R}^ n\).
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