A. Maurer (München)
Wednesday, January 24, 2018 - 10:00
Weierstraß-Institut
Mohrenstr. 39, 10117 Berlin, Erhard-Schmidt-Hörsaal, Erdgeschoss
Forschungsseminar Mathematische Statistik
Some multivariate functions have the property that their variation in any argument does not change too much when another argument is modi ed. The talk will give some examples and concentrates on the random variable W obtained by applying such a function to a vector of independent variables. Functions with weakly interacting arguments share some important properties with sums: the expectation of W can be estimated by a version of Bernstein's inequality and its variance can be tightly estimated in terms of an iid sample, which has only one datum more than the function has arguments. There is also a version of the central limit theorem.
submitted by chschnei (christine.schneider@wias-berlin.de, 030 20372574)