Electronic Communications in Probability

On McDiarmid's concentration inequality

Emmanuel Rio

Full-text: Open access

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.

Article information

Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 44, 11 pp.

Dates
Accepted: 8 June 2013
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465315583

Digital Object Identifier
doi:10.1214/ECP.v18-2659

Mathematical Reviews number (MathSciNet)
MR3070910

Zentralblatt MATH identifier
1348.60042

Subjects
Primary: 60E15: Inequalities; stochastic orderings

Keywords
McDiarmid inequality Concentration inequality Hoeffding inequality Vajda's tight lower bound

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Rio, Emmanuel. On McDiarmid's concentration inequality. Electron. Commun. Probab. 18 (2013), paper no. 44, 11 pp. doi:10.1214/ECP.v18-2659. https://projecteuclid.org/euclid.ecp/1465315583


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References

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