Generalizations of some concentration inequalities

DOI10.1016/J.SPL.2021.109298MaRDI QIDQ2070596zbMATH OpenOpenAlexFDO

Authors M. Ashraf Bhat, G. Sankara Raju Kosuru

Publication date 24 January 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.01479

Hoeffding's inequality Markov's inequality Chebyshev's inequality Cantelli's inequality

Inequalities; stochastic orderings (60E15) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20) Integration with respect to measures and other set functions (28A25)

Abstract: For a real-valued measurable function

f

and a nonnegative, nondecreasing function

p h i

, we first obtain a Chebyshev type inequality which provides an upper bound for

d i s p l a y s t y l e p h i (l a m b d a_{1}) m u (x i n O m e g a : f (x) g e q l a m b d a_{1}) + s u m_{k = 2}^{n} l e f t (p h i (l a m b d a_{k}) - p h i (l a m b d a_{k - 1}) i g h t) m u (x i n O m e g a : f (x) g e q l a m b d a_{k}),

where

0 < l a m b d a_{1} < l a m b d a_{2} c d o t s l a m b d a_{n} < i n f t y

. Using this, generalizations of a few concentration inequalities such as Markov, reverse Markov, Bienaym'e-Chebyshev, Cantelli and Hoeffding inequalities are obtained.

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