Sub-exponentiality in Statistical Exponential Models

Barbara Trivellato ()
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Barbara Trivellato: Politecnico di Torino

Journal of Theoretical Probability, 2024, vol. 37, issue 3, 2076-2096

Abstract: Abstract Improvements in the study of nonparametric maximal exponential models built on Orlicz spaces are proposed. By exploiting the notion of sub-exponential random variable, we give theoretical results which provide a clearer insight into the structure of these models. The explicit constants we obtain when changing the law of Orlicz spaces centered at connected densities allow us to derive uniform bounds with respect to a reference density.

Keywords: Sub-exponential random variable; Orlicz space; Exponential model; Concentration inequality; 46E30; 46N30; 62B10 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-023-01281-6

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