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An error bound in the Sudakov-Fernique inequality

Sourav Chatterjee
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Abstract

We obtain an asymptotically sharp error bound in the classical Sudakov-Fernique comparison inequality for finite collections of gaussian random variables. Our proof is short and self-contained, and gives an easy alternative argument for the classical inequality, extended to the case of non-centered processes.

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Sourav Chatterjee. 2005-10-20. An error bound in the Sudakov-Fernique inequality. https://arxiv.org/abs/math/0510424

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