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Concentration of measures via size-biased couplings
Authors:Subhankar Ghosh  Larry Goldstein
Institution:1. Department of Mathematics KAP 108, University of Southern California, Los Angeles, CA, 90089-2532, USA
Abstract:Let Y be a nonnegative random variable with mean??? and finite positive variance ?? 2, and let Y s , defined on the same space as Y, have the Y size-biased distribution, characterized by $$ EYf(Y)]=\mu E f(Y^s) \quad {\rm for\,all\,functions}\,f\,{\rm for\,which\,these\,expectations\,exist}. $$ Under a variety of conditions on Y and the coupling of Y and Y s , including combinations of boundedness and monotonicity, one sided concentration of measure inequalities such as $$ P\left(\frac{Y-\mu}{\sigma} \ge t\right)\le {\rm exp}\left(-\frac{t^2}{2(A+Bt)} \right) \quad {\rm for\,all}\,t\, > 0 $$ hold for some explicit A and B. The theorem is applied to the number of bulbs switched on at the terminal time in the so called lightbulb process of Rao et?al. (Sankhy?? 69:137?C161, 2007).
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