Uniform concentration bounds for frequencies of rare events

Stéphane Lhaut, Anne Sabourin and Johan Segers
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Stéphane Lhaut: Université catholique de Louvain, LIDAM/ISBA, Belgium
Johan Segers: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2022023, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: New Vapnik–Chervonenkis type concentration inequalities are derived for the empirical distribution of an independent random sample. Focus is on the maximal deviation over classes of Borel sets within a low probability region. The constants are explicit, enabling numerical comparisons.

Keywords: VC theory; Concentration Inequalities; Rare Events; Empirical Process; Non-parametric (search for similar items in EconPapers)
Pages: 11
Date: 2022-04-23
Note: In: Statistics & Probability Letters, 2022, vol. 189, 109610
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2022023

DOI: 10.1016/j.spl.2022.109610

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