Concentration and deviation inequalities in infinite dimensions via covariance representations
The purpose of this paper is to explore topics in concentration and deviation inequalities, in particular in infinite-dimensional settings. Concentration and deviation inequalities are obtained for functionals on Wiener space, Poisson space or more generally for normal martingales and binomial processes. The method used here is based on covariance identities obtained via the chaotic representation property, and provides an alternative to the use of logarithmic Sobolev inequalities. It enables the recovery of known concentration and deviation inequalities on the Wiener and Poisson space (including those given by sharp logarithmic Sobolev inequalities), and extends results available in the discrete case, i.e. on the infinite cube \(\{ -1, 1 \}^\infty.\)
- Some comments on deviation inequalities for infinitely divisible random vectors
- Some covariance inequalities in Wiener space
- Covariance identities and inequalities for functionals on Wiener and Poisson spaces
- Remarks on deviation inequalities for functions of infinitely divisible random vectors
- Martingales, Poincaré type inequalities, and deviation inequalities
- Martingales, Poincaré type inequalities, and deviation inequalities
- Some comments on deviation inequalities for infinitely divisible random vectors
- Asymptotic estimates for white noise distributions
- Concentration for multidimensional diffusions and their boundary local times
- Compound Poisson point processes, concentration and oracle inequalities
- Berry-Esseen bounds for functionals of independent random variables
- Multiscale functional inequalities in probability: constructive approach
- Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
- Compensator and exponential inequalities for some suprema of counting processes
- Concentration inequalities via Malliavin calculus with applications
- Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
- Concentration inequalities, counting processes and adaptive statistics
- Multifractal analysis of Lévy fields
- Discrete chaotic calculus and covariance identities
- Concentration inequalities for measures of a Boolean model
- Functional inequalities for discrete gradients and application to the geometric distribution
- Gaussian estimates for the solutions of some one-dimensional stochastic equations
- Stochastic analysis for obtuse random walks
- Restricted hypercontractivity on the Poisson space
- U-Statistics in Stochastic Geometry
- Stochastic Analysis for Poisson Processes
- Concentration inequalities for Poisson point processes with application to adaptive intensity estimation
- Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
- Covariance inequalities for convex and log-concave functions
- Malliavin calculus on the Clifford algebra
- Quantitative CLTs on the Poisson space via Skorohod estimates and p-Poincaré inequalities
- Poisson process Fock space representation, chaos expansion and covariance inequalities
- Exponential inequalities and laws of the iterated logarithm for multiple Poisson-Wiener integrals and Poisson U-statistics
- Concentration inequalities for Poisson U-statistics
- Dimension free and infinite variance tail estimates on Poisson space
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