Weighted sampling without replacement

Anna Ben-Hamou; Yuval Peres; Justin Salez

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arXiv · 1603.06556

Weighted sampling without replacement

Anna Ben-Hamou·Yuval Peres·Justin Salez

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Abstract

Comparing concentration properties of uniform sampling with and without replacement has a long history which can be traced back to the pioneer work of Hoeffding (1963). The goal of this short note is to extend this comparison to the case of non-uniform weights, using a coupling between the two samples. When the items' weights are arranged in the same order as their values, we show that the induced coupling for the cumulative values is a submartingale coupling. As a consequence, the powerful Chernoff-type upper-tail estimates known for sampling with replacement automatically transfer to the case of sampling without replacement. For general weights, we use the same coupling to establish a sub-Gaussian concentration inequality. We also construct another martingale coupling which allows us to answer a question raised by Luh and Pippenger (2014) on sampling in Polya urns with different replacement numbers.

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Anna Ben-Hamou, Yuval Peres, Justin Salez. 2016-03-21. Weighted sampling without replacement. https://arxiv.org/abs/1603.06556

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