The multinomial projection subgaussianity conjecture

Let mm and nn be nonnegative integers, let S{(x1,,xk)Zn:xi0, x1++xk=m}S\subset\{(x_1,\dotsc,x_k)\in\mathbb Z^n:x_i\geq0,\ x_1+\dotsb+x_k=m\}, and let (p1,,pk)Dir(α1,,αk)(p_1,\dotsc,p_k)\sim\operatorname{Dir}(\alpha_1,\dotsc,\alpha_k). The associated multinomial probability of SS is

(x1,,xk)Sm!x1!xk!p1x1pkxk.\sum_{(x_1,\dotsc,x_k)\in S}\frac{m!}{x_1!\dotsm x_k!}p_1^{x_1}\dotsm p_k^{x_k}.

Multinomial projection subgaussianity conjecture. This random variable is O(mα1++αk)O\left(\frac{m}{\alpha_1+\dotsm+\alpha_k}\right)-subgaussian. The conjecture is part of a family of concentration conditions for conjugate-prior models in adaptive data analysis; the supplied text does not indicate whether it has been resolved.

Sources & referencesView supporting material

Primary source

Sam Elder, “Bayesian Adaptive Data Analysis Guarantees from Subgaussianity”, arXiv:1611.00065 (2017).

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