On concentration inequalities for vector-valued Lipschitz functions
Carolyn L. Beck and
Statistics & Probability Letters, 2021, vol. 173, issue C
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)
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