Hoeffding's inequality for supermartingales
Probability
2013-11-20 v5
Abstract
We give an extension of Hoeffding's inequality to the case of supermartingales with differences bounded from above. Our inequality strengthens or extends the inequalities of Freedman, Bernstein, Prohorov, Bennett and Nagaev.
Keywords
Cite
@article{arxiv.1109.4359,
title = {Hoeffding's inequality for supermartingales},
author = {Xiequan Fan and Ion Grama and Quansheng Liu},
journal= {arXiv preprint arXiv:1109.4359},
year = {2013}
}
Comments
20 pages, accepted; Stochastic Processes and their Applications (2012), Vol. 122, pages 3545-3559