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On McDiarmid's concentration inequality


 
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1. Title Title of document On McDiarmid's concentration inequality
 
2. Creator Author's name, affiliation, country Emmanuel Rio; Université de Versailles; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) McDiarmid inequality, Concentration inequality, Hoeffding inequality, Vajda's tight lower bound
 
3. Subject Subject classification 60E15
 
4. Description Abstract

In this paper we improve the rate function in the McDiarmid concentration inequality for separately Lipschitz functions of independent random variables. In particular the rate function tends to infinity at the boundary. We also prove that in some cases the usual normalization factor is not adequate and may be improved.
 
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6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-06-08
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2659
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2659
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
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