Non asymptotic variance bounds and deviation inequalities by optimal transport

DOI10.1214/19-EJP265MaRDI QIDQ2631838zbMATH OpenFDO

Authors Kevin Tanguy

Publication date 16 May 2019

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

Full work available at URL https://arxiv.org/abs/1708.08620, https://projecteuclid.org/euclid.ejp/1550653272

zbMATH Keywords

functional inequalitiesmonotone rearrangementorder statisticssuperconcentration

Mathematics Subject Classification ID

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

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.

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Cited in

(6)

• 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
• Improved one-sided deviation inequalities under regularity assumptions for product measures
• Variations and extensions of the Gaussian concentration inequality, Part I
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