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arXiv · 1109.4359

Hoeffding's inequality for supermartingales

Xiequan Fan·Ion Grama·Quansheng Liu
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Abstract

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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Xiequan Fan, Ion Grama, Quansheng Liu. 2012-07-28. Hoeffding's inequality for supermartingales. https://arxiv.org/abs/1109.4359

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