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CATEGORIES:Statistics
SUMMARY:Randomized and exchangeable improvements of Markov
's\, Chebyshev's and Chernoff's inequalities - Aad
itya Ramdas (Carnegie Mellon University)
DTSTART;TZID=Europe/London:20230526T140000
DTEND;TZID=Europe/London:20230526T150000
UID:TALK199492AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/199492
DESCRIPTION:We present simple randomized and exchangeable impr
ovements of Markov's inequality\, as well as the r
elated Chebyshev's and Chernoff's inequalities (li
ke Hoeffding's and Bernstein's)\, for example. Our
variants are never worse and typically strictly m
ore powerful than the original inequalities\, whic
h can be recovered as simple corollaries. The proo
fs are short and somewhat elementary. We provide s
everal simple statistical applications involving e
-values\, such as uniformly improving the power of
universal inference\, and tighter nonparametric c
onfidence intervals based on betting.\n\nThis is j
oint work with Tudor Manole\, a PhD student at CMU
. A preprint is at https://arxiv.org/abs/2304.0261
1.
LOCATION:MR12\, Centre for Mathematical Sciences
CONTACT:Qingyuan Zhao
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