Bernstein-type inequality for a class of dependent random matrices

DOI10.1142/S2010326316500064zbMATH Open1381.60017arXiv1504.05834MaRDI QIDQ2809331FDOQ2809331

Marwa Banna, Florence Merlevède, Pierre Youssef

Publication date: 27 May 2016

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: In this paper we obtain a Bernstein type inequality for the sum of self-adjoint centered and geometrically absolutely regular random matrices with bounded largest eigenvalue. This inequality can be viewed as an extension to the matrix setting of the Bernstein-type inequality obtained by Merlev`ede et al. (2009) in the context of real-valued bounded random variables that are geometrically absolutely regular. The proofs rely on decoupling the Laplace transform of a sum on a Cantor-like set of random matrices.

Full work available at URL: https://arxiv.org/abs/1504.05834

zbMATH Keywords

random matricesBernstein inequalityabsolute regularitydeviation inequality\(\beta\)-mixing coefficients

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (probabilistic aspects) (60B20)

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Cited In (6)

• A bound of the \(\beta\)-mixing coefficient for point processes in terms of their intensity functions
• An exponential inequality for U-statistics under mixing conditions
• Rate-optimal robust estimation of high-dimensional vector autoregressive models
• Singular value distribution of dense random matrices with block Markovian dependence
• Matrix Poincaré inequalities and concentration
• Moment bounds for large autocovariance matrices under dependence

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