Hoeffding's inequality for supermartingales
Xiequan Fan, Ion Grama, Quansheng Liu
TL;DR
This paper extends Hoeffding's inequality to supermartingales with bounded differences, providing stronger bounds than previous inequalities by Freedman, Bernstein, Prohorov, Bennett, and Nagaev.
Contribution
It introduces a new inequality for supermartingales that improves upon existing bounds in probability theory.
Findings
Stronger concentration bounds for supermartingales.
Extension of Hoeffding's inequality to new cases.
Comparison showing improvements over previous inequalities.
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.
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Taxonomy
TopicsAdvanced Harmonic Analysis Research