An exponential inequality for suprema of empirical processes with heavy tails on the left

Abstract : In this Note, we provide exponential inequalities for suprema of empirical processes with heavy tails on the left. Our approach is based on a martingale decomposition, associated with comparison inequalities over a cone of convex functions originally introduced by Pinelis. Furthermore, the constants in our inequalities are explicit.
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https://hal.archives-ouvertes.fr/hal-02092094
Contributor : Antoine Marchina <>
Submitted on : Friday, April 12, 2019 - 11:35:31 AM
Last modification on : Tuesday, April 16, 2019 - 1:13:04 AM

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Antoine Marchina. An exponential inequality for suprema of empirical processes with heavy tails on the left. 2019. ⟨hal-02092094v2⟩

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