A Bernstein-type inequality for suprema of random processes with an application to statistics

Publication date 21 April 2009

Nonparametric regression and quantile regression (62G08) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We use the generic chaining device proposed by Talagrand to establish exponential bounds on the deviation probability of some suprema of random processes. Then, given a random vector

x i

in

R^{n}

the components of which are independent and admit a suitable exponential moment, we deduce a deviation inequality for the squared Euclidean norm of the projection of

x i

onto a linear subspace of

R^{n}

. Finally, we provide an application of such an inequality to statistics, performing model selection in the regression setting when the errors are possibly non-Gaussian and the collection of models possibly large.

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