Weak transport inequalities and applications to exponential and oracle inequalities

DOI10.1214/EJP.V20-3558zbMATH Open1328.60057OpenAlexW2203637285MaRDI QIDQ894175FDOQ894175

Authors Olivier Wintenberger

Publication date 27 November 2015

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

Full work available at URL https://arxiv.org/abs/1207.4951

zbMATH Keywords

time seriesoracle inequalitiesconcentration of measurestransport inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures and integrals in product spaces (28A35)

Abstract: We extend the dimension free Talagrand inequalities for convex distance cite{talagrand:1995} using an extension of Marton's weak transport cite{marton:1996a} to other metrics than the Hamming distance. We study the dual form of these weak transport inequalities for the euclidian norm and prove that it implies sub-gaussianity and convex Poincar'e inequality cite{bobkov:gotze:1999a}. We obtain new weak transport inequalities for non products measures extending the results of Samson in cite{samson:2000}. Many examples are provided to show that the euclidian norm is an appropriate metric for classical time series. Our approach, based on trajectories coupling, is more efficient to obtain dimension free concentration than existing contractive assumptions cite{djellout:guillin:wu:2004,marton:2004}. Expressing the concentration properties of the ordinary least square estimator as a conditional weak transport problem, we derive new oracle inequalities with fast rates of convergence in dependent settings.

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• Convergence rate and concentration inequalities for Gibbs sampling in high dimension
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• Transportation inequalities for weakly dependent sequences
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• Transport-information inequalities for Markov chains
• Transport-entropy inequalities and deviation estimates for stochastic approximation schemes

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