Related papers: On Hoeffding's inequalities

This note makes the obvious observation that Hoeffding's original proof of his inequality remains valid in the game-theoretic framework. All details are spelled out for the convenience of future reference.

The non-asymptotic tail bounds of random variables play crucial roles in probability, statistics, and machine learning. Despite much success in developing upper bounds on tail probability in literature, the lower bounds on tail…

Let X_1,..., X_n be independent Bernoulli random variables and $f$ a function on {0,1}^n. In the well-known paper (Talagrand1994) Talagrand gave an upper bound for the variance of f in terms of the individual influences of the X_i's. This…

Let $M_n$ denote a random symmetric $n \times n$ matrix whose upper diagonal entries are independent and identically distributed Bernoulli random variables (which take values $1$ and $-1$ with probability $1/2$ each). It is widely…

Let X1, ..., Xn be arbitrary non-negative independent random variables with respective expected values $\mu_{i}$ at most one. We sketch but do not prove an equivalent conjecture to Feige's Conjecture $\mathbb{P} \left( \sum_{i=1}^{n} X_{i}…

We investigate the properties of a discrete-time martingale $\{X_m\}_{m\in \mathbb Z_{\geq 0}}$, where all differences between adjacent random variables are limited to be not more than a constant as a promise. In this situation, it is known…

We consider the problem of finding the optimal upper bound for the tail probability of a sum of $k$ nonnegative, independent and identically distributed random variables with given mean $x$. For $k=1$ the answer is given by Markov's…

Let $X=\{X_j , j\ge 1\}$ be a sequence of independent, square integrable variables taking values in a common lattice $\mathcal L(v_{ 0},D )= \{v_{ k}=v_{ 0}+D k , k\in \Z\}$. Let $S_n=X_1+\ldots +X_n$, $a_n= {\mathbb E\,} S_n$, and…

Hoeffding-type exponential inequalities are obtained for the distribution tails of canonical von Mises' statistics of arbitrary order based on samples from a stationary sequence of random variables satisfying the {\varphi}-mixing condition.…

We provide an inequality which is a useful tool in studying both large deviation results and limit theorems for sums of random fields with "negligible" small values. In particular, the inequality covers cases of stable limits for random…

A result by N.G. Makarov [Algebra i Analiz, 1989] states that for martingales $(M_n)$ on the torus we have the strict inequality \[ \liminf_{n\to\infty} \frac{M_n}{\sum_{k=1}^n |\Delta M_k|} > 0 \] on a set of Hausdorff dimension one,…

Let $X_1,..., X_N\in\R^n$ be independent centered random vectors with log-concave distribution and with the identity as covariance matrix. We show that with overwhelming probability at least $1 - 3 \exp(-c\sqrt{n}\r)$ one has $ \sup_{x\in…

In this work we present concentration inequalities for the sum $S_n$ of independent integer-valued not necessary indentically distributed random variables, where each variable has tail function that can be bounded by some power function…

Let $b(x)$ be the probability that a sum of independent Bernoulli random variables with parameters $p_1, p_2, p_3, \ldots \in [0,1)$ equals $x$, where $\lambda := p_1 + p_2 + p_3 + \cdots$ is finite. We prove two inequalities for the…

Let $\eta_{1},\eta_2,...$ be independent (not necessarily identically distributed) zero-mean random variables (r.v.'s) such that $|\eta_i|\le1$ almost surely for all $i$, and let $Z$ stand for a standard normal r.v. Let $a_1,a_2,...$ be any…

In this paper, we generalize and improve some fundamental concentration inequalities using information on the random variables' higher moments. In particular, we improve the classical Hoeffding's and Bennett's inequalities for the case…

In statistical inference, uncertainty is unknown and all models are wrong. That is to say, a person who makes a statistical model and a prior distribution is simultaneously aware that both are fictional candidates. To study such cases,…

The paper is devoted to infinite Bernoulli convolutions generated by positive multigeometric series and to probability distributions of random variables whose digits in an even integer base-$s$ expansion with two redundant digits form a…

In this paper we prove multilevel concentration inequalities for bounded functionals $f = f(X_1, \ldots, X_n)$ of random variables $X_1, \ldots, X_n$ that are either independent or satisfy certain logarithmic Sobolev inequalities. The…

In this paper we introduce and study the class of multivariate strong and strongly subexponential distributions. Some first properties are verified, as for example a type of multivariate analogue of Kesten's inequality, the closure property…