Upper functions for positive random functionals

Details Upper functions for positive random functionals Upper functions for positive random functionals

2012-02-29

arxiv.org/abs/1202.6615v1

Mathematics

Probability

Scientific paper

The main objective of this paper is to look from the unique point of view at some phenomena arising in different areas of probability theory and mathematical statistics. We will try to understand what is common between classical probabilistic results, such as the law of iterated logarithm for example, and well-known problem in adaptive estimation called price to pay for adaptation. Why exists two different kinds of this price? What relates exponential inequalities for M-estimators, so-called uniform-in-bandwidth consistency in density or regression model and the bounds for modulus of continuity of gaussian random functions defined on a metric space equipped with doubling measure? It turned out that all these and many others problems can be reduced to finding upper functions for a collection real- valued random variables. Each variable is the value of a given sub-additive positive functional of continuous random mapping defined on a totally bounded subset of a metric space.

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