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First page of Robust Nonparametric Methods for $α$-Mixing Sequences via Median-of-Means

Robust Nonparametric Methods for $α$-Mixing Sequences via Median-of-Means

Attila Lovas, Marcell Tukora

math.ST Oct 11, 2026 · v1 math.PR
Main arguments (median counting, mixing transfer, covariance inequality, Theorem 2.6, Sections 3–6 bounds) were formalized in Lean 4 on Mathlib, AI-assisted with Claude.
The median-of-means (MoM) estimator is a robust alternative to the sample mean for heavy-tailed or contaminated data. While its non-asymptotic properties are well understood for i.i.d.\ samples, much less is known for dependent sequences. We establish non-asymptotic deviation bounds for the MoM estimator computed from consecutive blocks of an identically distributed $α$-mixing sequence, both for a single mean and uniformly over a class of functions (the median-of-means process). All bounds remain valid, with explicitly adjusted constants, when a sufficiently small fraction of the blocks is adversarially corrupted. As applications, we obtain deviation bounds for a median-of-means Nadaraya–Watson regression estimator, for the MoM kernel density estimator, and for empirical and Bahadur-type estimators of Value-at-Risk and Conditional Value-at-Risk. Finally, we show that the sampling of bulk materials, where the measurements form a spatially dependent random field, reduces to the one-dimensional setting if the samples are taken in well-separated groups.

Non-asymptotic deviation bounds for the median-of-means (MoM) estimator are well understood for i.i.d. samples but not for dependent sequences. The paper seeks such bounds for alpha-mixing sequences, including under adversarial corruption of some blocks.

A Rio-type exponential inequality for weakly dependent binary sequences replaces Hoeffding's inequality in the standard MoM analysis. This yields deviation bounds for MoM computed on consecutive blocks, both for a single mean and uniformly over function classes, with explicit constants under contamination. The main arguments were formalized in Lean 4 on top of Mathlib, with assistance from Claude, to check the proofs.

Deviation bounds are obtained for MoM Nadaraya–Watson regression, the MoM kernel density estimator, and empirical and Bahadur-type VaR/CVaR estimators under alpha-mixing with polynomially decaying coefficients. Sampling of bulk materials over spatially dependent random fields is shown to reduce to the one-dimensional setting when samples are taken in well-separated groups.