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On concentration inequalities for vector-valued Lipschitz functions

Dimitrios Katselis, Xiaotian Xie, Carolyn L. Beck and R. Srikant

Statistics & Probability Letters, 2021, vol. 173, issue C

Abstract: We derive two upper bounds for the probability of deviation of a vector-valued Lipschitz function of a collection of random variables from its expected value. The resulting upper bounds can be tighter than bounds obtained by a direct application of a classical theorem due to Bobkov and Götze.

Keywords: Theorem of Bobkov and Götze; Concentration; Markov chain; Transportation cost inequality (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109071

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