Hoeffding’s inequality for supermartingales

Xiequan Fan, Ion Grama and Quansheng Liu

Stochastic Processes and their Applications, 2012, vol. 122, issue 10, 3545-3559

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.

Keywords: Concentration inequalities; Hoeffding’s inequality; Freedman’s inequality; Bennett’s inequality; Martingales; Supermartingales (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:10:p:3545-3559

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DOI: 10.1016/j.spa.2012.06.009

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