Bernstein-type bounds for beta distribution

DOI10.15559/23-VMSTA223MaRDI QIDQ6157635zbMATH OpenOpenAlexFDO

Authors Maciej Skórski

Publication date 22 June 2023

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.02094

zbMATH Keywords

beta distributionBernstein inequalityconcentration bounds

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Abstract: This work obtains sharp closed-form exponential concentration inequalities of Bernstein type for the ubiquitous beta distribution, improving upon sub-gaussian and sub-gamma bounds previously studied in this context. The proof leverages a novel handy recursion of order 2 for central moments of the beta distribution, obtained from the hypergeometric representations of moments; this recursion is useful for obtaining explicit expressions for central moments and various tail approximations.

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Cited in

(1)

• On the sub-Gaussianity of the beta and Dirichlet distributions

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