proof of Bennett inequality
By Chernoff-Cramèr inequality (http://planetmath.org/ChernoffCramerBound), we have:
where
Keeping in mind that the condition
implies that, for all ,
(see here (http://planetmath.org/RelationBetweenAlmostSurelyAbsolutelyBoundedRandomVariablesAndTheirAbsoluteMoments) for a proof) and since , and
(see here (http://planetmath.org/AbsoluteMomentsBoundingNecessaryAndSufficientCondition) for a proof), one has:
One can now write
By elementary calculus, we obtain the value of that maximizes theexpression in round brackets:
which, once plugged into the bound, yields
Observing that (see here (http://planetmath.org/ASimpleMethodForComparingRealFunctions)), one gets thesub-optimal yet more easily manageable formula: