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arXiv · 2101.02094

Bernstein-Type Bounds for Beta Distribution

Maciej Skorski
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Abstract

This work obtains sharp closed-form exponential concentration inequalities of Bernstein type for the ubiquitous beta distribution, improving upon sub-gaussian and sub-gamma bounds previously studied in this context. The proof leverages a novel handy recursion of order 2 for central moments of the beta distribution, obtained from the hypergeometric representations of moments; this recursion is useful for obtaining explicit expressions for central moments and various tail approximations.

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BibTeXRIS

Maciej Skorski. 2021-01-06. Bernstein-Type Bounds for Beta Distribution. https://doi.org/10.15559/23-vmsta223

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