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This article is cited in 2 scientific papers (total in 2 papers)
On Finite Range Stable-Type Concentration
J.-Ch. Bretona, Ch. Houdréb a Université de La Rochelle
b School of Mathematics, Georgia Institute of Technology
Abstract:
We first study the deviation probability $P\{f(X)-E[f(X)]\ge x\}$, where $f$ is a Lipschitz (for the Euclidean norm) function defined on $R^d$ and $X$ is an $\alpha$-stable random vector of index $\alpha \in (1,2)$. We show that this probability is upper bounded by either $e^{-cx^{\alpha/(\alpha-1)}}$ or $e^{-cx^\alpha}$ according to $x$ taking small values or being in a finite range interval. We generalize these finite range concentration inequalities to $P\{F-m(F)\ge x\}$ where $F$ is a stochastic functional on the Poisson space equipped with a stable Lйvy measure of index $\alpha\in(0,2)$ and where $m(F)$ is a median of $F$.
Keywords:
concentration of measure phenomenon, stable random vectors, infinite divisibility.
Received: 09.12.2004 Revised: 09.01.2006
Citation:
J.-Ch. Breton, Ch. Houdré, “On Finite Range Stable-Type Concentration”, Teor. Veroyatnost. i Primenen., 52:4 (2007), 711–735; Theory Probab. Appl., 52:4 (2008), 543–564
Linking options:
https://www.mathnet.ru/eng/tvp1530https://doi.org/10.4213/tvp1530 https://www.mathnet.ru/eng/tvp/v52/i4/p711
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Abstract page: | 242 | Full-text PDF : | 136 | References: | 70 |
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