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Concentration inequalities for order statistics

By Stephane Boucheron and Maud Thomas

Abstract

13 pagesInternational audienceThis note describes non-asymptotic variance and tail bounds for order statistics of samples of independent identically distributed random variables. Those bounds are checked to be asymptotically tight when the sampling distribution belongs to a maximum domain of attraction. If the sampling distribution has non-decreasing hazard rate (this includes the Gaussian distribution), we derive an exponential Efron-Stein inequality for order statistics: an inequality connecting the logarithmic moment generating function of centered order statistics with exponential moments of Efron-Stein (jackknife) estimates of variance. We use this general connection to derive variance and tail bounds for order statistics of Gaussian sample. Those bounds are not within the scope of the Tsirelson-Ibragimov-Sudakov Gaussian concentration inequality. Proofs are elementary and combine Rényi's representation of order statistics and the so-called entropy approach to concentration inequalities popularized by M. Ledoux

Topics: concentration inequalities, entropy method, order statistics, 60E15;60F10;60G70;62G30;62G32, [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR], [ STAT.TH ] Statistics [stat]/Statistics Theory [stat.TH]
Publisher: Institute of Mathematical Statistics (IMS)
Year: 2012
DOI identifier: 10.1214/ECP.v17-2210
OAI identifier: oai:HAL:hal-00751496v1
Provided by: Hal-Diderot
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