Robust concentration inequalities in maximal exponential models

Paola Siri and Barbara Trivellato

Statistics & Probability Letters, 2021, vol. 170, issue C

Abstract: Robust concentration inequalities of Bernstein type for sub-exponential random variables are proved with respect to probability measures whose densities are connected by open exponential arcs.

Keywords: Concentration inequalities; Exponential models; Sub-exponential random variables; Orlicz spaces (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2020.109001

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