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Robust concentration inequalities in maximal exponential models

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  • Siri, Paola
  • Trivellato, Barbara

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.

Suggested Citation

  • Siri, Paola & Trivellato, Barbara, 2021. "Robust concentration inequalities in maximal exponential models," Statistics & Probability Letters, Elsevier, vol. 170(C).
    • Handle: RePEc:eee:stapro:v:170:y:2021:i:c:s0167715220303047
    DOI: 10.1016/j.spl.2020.109001
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    References listed on IDEAS

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    1. Alberto Cena & Giovanni Pistone, 2007. "Exponential statistical manifold," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(1), pages 27-56, March.
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