Concentration inequalities and moment bounds for sample covariance operators
نویسندگان
چکیده
منابع مشابه
Concentration and moment inequalities for polynomials of independent random variables
In this work we design a general method for proving moment inequalities for polynomials of independent random variables. Our method works for a wide range of random variables including Gaussian, Boolean, exponential, Poisson and many others. We apply our method to derive general concentration inequalities for polynomials of independent random variables. We show that our method implies concentra...
متن کاملThe masked sample covariance estimator : an analysis using matrix concentration inequalities
Covariance estimation becomes challenging in the regime where the number p of variables outstrips the number n of samples available to construct the estimate. One way to circumvent this problem is to assume that the covariance matrix is nearly sparse and to focus on estimating only the significant entries. To analyse this approach, Levina & Vershynin (2011, Probab. Theory Related Fields) introd...
متن کاملTest for Exponentiality Based on the Sample Covariance
This paper proposes a simple goodness-of-fit test based on the sample covariance. It is shown that this test is preferable for alternatives of increasing and unimodal failure rate. Critical values for various sample sizes are determined by means of Monte Carlo simulations. We compare the test based on the sample covariance with tests based on Hoeffding's maximum correlation. The usefulness o...
متن کاملThe Ostrowski Type Moment Integral Inequalities and Moment-Bounds for Continuous Random Variables
We establish Ostrowski type integral inequalities involving moments of a continuous random variable defined on a finite interval. We also derive bounds for moments from these inequalities. Further, we discuss applications of these bounds to the Euler’s beta mappings and illustrate their behaviour. c © 2005 Elsevier Science Ltd. All rights reserved. Keywords—Ostrowski’s inequality, Grüss inequal...
متن کاملSome inequalities involving lower bounds of operators on weighted sequence spaces by a matrix norm
Let A = (an;k)n;k1 and B = (bn;k)n;k1 be two non-negative ma-trices. Denote by Lv;p;q;B(A), the supremum of those L, satisfying the followinginequality:k Ax kv;B(q) L k x kv;B(p);where x 0 and x 2 lp(v;B) and also v = (vn)1n=1 is an increasing, non-negativesequence of real numbers. In this paper, we obtain a Hardy-type formula forLv;p;q;B(H), where H is the Hausdor matrix and 0 < q p 1. Also...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2017
ISSN: 1350-7265
DOI: 10.3150/15-bej730