Email Gateway (Dec 05 2023 at 23:46): Email Gateway (Dec 05 2023 at 23:46):From: Manuel Eberl <manuel@pruvisto.org>
Concentration Inequalities
by Emin Karayel and Yong Kiam Tan
Concentration inequalities provide bounds on how a random variable (or a
sum/composition of random variables) deviate from their expectation,
usually based on moments/independence of the variables. The most
important concentration inequalities (the Markov, Chebyshev, and Hoelder
inequalities and the Chernoff bounds) are already part of
HOL-Probability. This entry collects more advanced results, such as
Bennett's/Bernstein's Inequality, Bienayme's Identity, Cantelli's
Inequality, the Efron-Stein Inequality, McDiarmid's Inequality, and the
Paley-Zygmund Inequality.
https://www.isa-afp.org/entries/Concentration_Inequalities.html
Enjoy,
Manuel
Last updated: Jan 04 2025 at 20:18 UTC