The optimal sub-Gaussian normalisation for randomised monotone functions

Abstract

Let $\mathcal{M}$ denote the class of randomised monotone functions on $\mathbb{R}$ with values in $[0,1]$, and let $U_{\mathcal{M}}\colon \mathbb{R}_+\to \mathbb{R}_+$ be the minimal function for which $$ \mathbb{P}\left\{ \sqrt{η_f}\, \sup_{t\in\mathbb{R}} \left| f_Z(t) - \Exf{f_Z(t)} \right| \ge \varepsilon\sqrt{U_{\mathcal{M}}(η_f)} \right\} \le 2\e^{-2\varepsilon^2} $$ holds for every member $f_Z$ of $\mathcal{M}$ with finite effective sample size $η_f$ and every positive $\varepsilon$. We prove that for every $x> 1$, $$ \left| \sqrt{U_{\mathcal{M}}(x)} - \sqrt{\log_4 x} \right| \le 2 \min\!\left\{ 1,\, \frac{2 \ln(\e + \ln x)}{\sqrt{\ln x}} \right\}\,. $$ The optimal adjustment $\sqrt{U_{\mathcal{M}}(x)}$ matches $\frac{1}{\sqrt{2\ln 2}}\sqrt{\ln x}$ for all $x>1$, with residuals bounded as above.