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单词 HoeffdingInequalityForBoundedIndependentRandomVariables
释义

Hoeffding inequality for bounded independent random variables


Let X1, X2,,Xn be independentPlanetmathPlanetmath random variablesMathworldPlanetmath, such that Pr(akXkbk)=1 for all k, where ak and bk are constant, ak<bk. Let Sn be the sum X1++Xn. Then

Pr(Sn-E[Sn]>ϵ)exp(-2ϵ2k=1n(bk-ak)2),
Pr(|Sn-E[Sn]|>ϵ)2exp(-2ϵ2k=1n(bk-ak)2).

References

  • 1 W. Hoeffding, “Probability inequalities for sums of bounded random variables”, J. Amer. Statist. Assoc., vol. 58, pp.13-30, 1963.
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