Concentration inequalities for order statistics

Abstract : This note describes non-asymptotic variance and tail bounds for order statistics of samples of independent identically distributed random variables. Those bounds are checked to be asymptotically tight when the sampling distribution belongs to a maximum domain of attraction. If the sampling distribution has non-decreasing hazard rate (this includes the Gaussian distribution), we derive an exponential Efron-Stein inequality for order statistics: an inequality connecting the logarithmic moment generating function of centered order statistics with exponential moments of Efron-Stein (jackknife) estimates of variance. We use this general connection to derive variance and tail bounds for order statistics of Gaussian sample. Those bounds are not within the scope of the Tsirelson-Ibragimov-Sudakov Gaussian concentration inequality. Proofs are elementary and combine Rényi's representation of order statistics and the so-called entropy approach to concentration inequalities popularized by M. Ledoux.
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https://hal.archives-ouvertes.fr/hal-00751496
Contributor : Stéphane Boucheron <>
Submitted on : Tuesday, November 13, 2012 - 3:38:45 PM
Last modification on : Thursday, March 21, 2019 - 1:12:18 PM

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Stephane Boucheron, Maud Thomas. Concentration inequalities for order statistics. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2012, 17, pp.51. ⟨10.1214/ECP.v17-2210⟩. ⟨hal-00751496⟩

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