Concentration Inequalities (Q7361435)
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AFP entry Concentration_Inequalities
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Concentration Inequalities |
AFP entry Concentration_Inequalities |
Statements
13 November 2023
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Emin Karayel
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Yong Kiam Tan
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Concentration Inequalities (English)
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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.
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