Some superconcentration inequalities for extrema of stationary Gaussian Processes

Kevin Tanguy

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arXiv · 1503.06563

Some superconcentration inequalities for extrema of stationary Gaussian Processes

Kevin Tanguy

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Abstract

This note is concerned with concentration inequalities for extrema of stationary Gaussian processes. It provides non-asymptotic tail inequalities which fully reflect the fluctuation rate, and as such improve upon standard Gaussian concentration. The arguments rely on the hypercontractive approach developed by Chatterjee for superconcentration variance bounds. Some statistical illustrations complete the exposition.

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Kevin Tanguy. 2015-03-23. Some superconcentration inequalities for extrema of stationary Gaussian Processes. https://arxiv.org/abs/1503.06563

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