Non asymptotic variance bounds and deviation inequalities by optimal transport

DOI10.1214/19-EJP265zbMATH Open1466.60035arXiv1708.08620MaRDI QIDQ2631838FDOQ2631838

Authors: Kevin Tanguy 

Publication date: 16 May 2019

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

Abstract: The purpose of this note is to show how simple Optimal Transport arguments, on the real line, can be used in Superconcentration theory. This methodology is efficient to produce sharp non-asymptotic variance bounds for various functionals (maximum, median, $l^p$ norms) of standard Gaussian random vectors in $R^n$. The flexibility of this approach can also provide exponential deviation inequalities reflecting preceding variance bounds. As a further illustration, usual laws from Extreme theory and Coulomb gases are studied.

Full work available at URL: https://arxiv.org/abs/1708.08620

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zbMATH Keywords

order statisticsfunctional inequalitiesmonotone rearrangementsuperconcentration

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Inequalities; stochastic orderings (60E15) Inequalities involving derivatives and differential and integral operators (26D10)

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Cited In (6)

• Improved one-sided deviation inequalities under regularity assumptions for product measures
• Asymptotic development for the CLT in total variation distance
• Variations and extensions of the Gaussian concentration inequality, Part I
• Talagrand inequality at second order and application to Boolean analysis
• Remarks on superconcentration and gamma calculus: applications to spin glasses
• On the tightness of Gaussian concentration for convex functions

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