Central moment inequalities using Stein's method

DOI10.1214/20-EJP493zbMATH Open1459.60045arXiv1802.10225OpenAlexW3047689401MaRDI QIDQ2201505FDOQ2201505

Authors: Nathan Ross, Yuting Wen, A. D. Barbour 

Publication date: 29 September 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We derive explicit central moment inequalities for random variables that admit a Stein coupling, such as exchangeable pairs, size--bias couplings or local dependence, among others. The bounds are in terms of moments (not necessarily central) of variables in the Stein coupling, which are typically local in some sense, and therefore easier to bound. In cases where the Stein couplings have the kind of behaviour leading to good normal approximation, the central moments are closely bounded by those of a normal. We show how the bounds can be used to produce concentration inequalities, and compare them to those existing in related settings. Finally, we illustrate the power of the theory by bounding the central moments of sums of neighbourhood statistics in sparse ErdH{o}s--R'enyi random graphs.

Full work available at URL: https://arxiv.org/abs/1802.10225

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zbMATH Keywords

Stein's methodconcentration inequalitiesmoment inequalitiesErdős-Rényi random graph

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Combinatorial probability (60C05)

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Cited In (4)

• Weighted Poincaré inequalities, concentration inequalities and tail bounds related to Stein kernels in dimension one
• Title not available (Why is that?)
• Applications of Stein's method for concentration inequalities
• Concentration inequalities from monotone couplings for graphs, walks, trees and branching processes

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