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Higher Order Concentration of Measure (1709.06838v2)
Published 20 Sep 2017 in math.PR
Abstract: We study sharpened forms of the concentration of measure phenomenon typically centered at stochastic expansions of order $d-1$ for any $d \in \mathbb{N}$. The bounds are based on $d$-th order derivatives or difference operators. In particular, we consider deviations of functions of independent random variables and differentiable functions over probability measures satisfying a logarithmic Sobolev inequality, and functions on the unit sphere. Applications include concentration inequalities for $U$-statistics as well as for classes of symmetric functions via polynomial approximations on the sphere (Edgeworth-type expansions).