Tag Archives: martingales

McDiarmid’s inequality

In the previous post of the mini-course, we proved Azuma–Hoeffding inequality. We were able to relax the assumption that    were independent but we were dealing only with their sum. Now we are to demonstrate that martingale method lets also to control more general functions    (now of independent arguments). … Continue reading

Posted in Course on Concentration Inequalities | Tagged | Leave a comment

Azuma-Hoeffding inequality

In this post we will further expand the setting in which concentration inequalities are stated. Remember that we started from the arithmetical mean where all    were independent. We first showed that if    are sufficiently “light-tailed” (subgaussian), then    concentrates above its mean, with a remarkable special … Continue reading

Posted in Course on Concentration Inequalities | Tagged | 1 Comment