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Exponential bounds for multivariate self-normalized sums


 
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1. Title Title of document Exponential bounds for multivariate self-normalized sums
 
2. Creator Author's name, affiliation, country Patrice Bertail; Laboratory of Statistics, CREST and MODALX, University Paris X, France
 
2. Creator Author's name, affiliation, country Emmanuelle Gautherat; Laboratory of Statistics, CREST and Economic Faculty of Reims, France
 
2. Creator Author's name, affiliation, country Hugo Harari-Kermadec; Laboratory of Statistics, CREST and Université Paris-Dauphine, France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Exponential inequalities; Self-normalization; multivariate; Hoeffding inequality.
 
3. Subject Subject classification Primary 62G15 ; secondary 62E17, 62H15.
 
4. Description Abstract In a non-parametric framework, we establish some non-asymptotic bounds for self-normalized sums and quadratic forms in the multivariate case for symmetric and general random variables. This bounds are entirely explicit and essentially depends in the general case on the kurtosis of the Euclidean norm of the standardized random variables.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-12-14
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1430
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1430
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
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