Some superconcentration inequalities for extrema of stationary Gaussian processes

Kevin Tanguy

Statistics & Probability Letters, 2015, vol. 106, issue C, 239-246

Abstract: This note is concerned with concentration inequalities for extrema of stationary Gaussian processes. It provides non-asymptotic tail inequalities which fully reflect the fluctuation rate, and as such improve upon standard Gaussian concentration. The arguments rely on the hypercontractive approach developed by Chatterjee for superconcentration variance bounds. Some statistical illustrations complete the exposition.

Keywords: Superconcentration; Concentration inequalities; Stationary Gaussian process; Hypercontractivity; Theory of extremes (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.07.028

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