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Table 2

Estimates of the risk α obtained from the Gaussian approximation and the concentration inequalities. The true risk is equal to 5%.

Methods Distributions for X

Gauss 0.05 0.04 0.04 0.03
BC 0.27 0.25 0.23 0.23
CM 0.14 0.13 0.12 0.12
VD 0.12 0.11 0.10 0.10

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