Hoeffding’s inequality for supermartingales

We give an extension of Hoeffding’s inequality to the case of supermartingales with differences bounded from above. Our inequality strengthens or extends the inequalities of Freedman, Bernstein, Prohorov, Bennett and Nagaev.

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Year of publication:	2012
Authors:	Fan, Xiequan ; Grama, Ion ; Liu, Quansheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 10, p. 3545-3559
Publisher:	Elsevier
Subject:	Concentration inequalities \| Hoeffding’s inequality \| Freedman’s inequality \| Bennett’s inequality \| Martingales \| Supermartingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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