On a multivariate version of Bernstein's inequality

DOI10.1214/EJP.V12-430MaRDI QIDQ2461997zbMATHFDO

Authors P. Major

Publication date 23 November 2007

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

Full work available at URL https://arxiv.org/abs/math/0411287

zbMATH Keywords

diagram formuladegenerate \(U\)-statisticshigh momentsWiener-Itô integrals

Mathematics Subject Classification ID

Large deviations (60F10) Inequalities; stochastic orderings (60E15) Stochastic analysis (60H99)

Abstract: We prove a multivariate version of Bernstein's inequality about the probability that degenerate $U$-statistics take a value larger than some number $u$. This is an improvement of former estimates for the same problem which yields an asymptotically sharp estimate for not too large numbers $u$. This paper also contains an analogous bound about the distribution of multiple Wiener-Ito integrals. Their comparison shows that our results are sharp. The proofs are based on good estimates about high moments of multiple random integrals. They are obtained by means of a diagram formula which enables us to express the product of multiple random integrals as the sum of such expressions.

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