• Corpus ID: 252408706

Instance-dependent uniform tail bounds for empirical processes

@inproceedings{Bahmani2022InstancedependentUT,
  title={Instance-dependent uniform tail bounds for empirical processes},
  author={Sohail Bahmani},
  year={2022}
}

• S. Bahmani
• Published 21 September 2022
• Mathematics

We formulate a uniform tail bound for empirical processes indexed by a class of functions, in terms of the individual deviations of the functions rather than the worst-case deviation in the considered class. The tail bound is established by introducing an initial “deflation” step to the standard generic chaining argument. The resulting tail bound has a main complexity component, a variant of Talagrand’s γ functional for the deflated function class, as well as an instance-dependent deviation term, measured by an appropriately scaled version of a suitable norm. Both of these terms are expressed using certain coefficients formulated based on the relevant cumulant generating functions. We also provide more explicit approximations for the mentioned coefficients, when the function class lies in a given (exponential type) Orlicz space.