An improved Hoeffding's inequality for sum of independent random variables

被引：2

作者：

Cheng, Xueqin ^{[1
]}

Li, Yanpeng ^{[2
]}

机构：

[1] Xiangtan Univ, Sch Math & Computat Sci, Xiangtan 411105, Peoples R China

[2] Harbin Inst Technol, Sch Math, Harbin 150001, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2022年 / 183卷

关键词：

Hoeffding's inequality; Moment-generating function; Model selection; Change-point detection;

D O I：

10.1016/j.spl.2021.109349

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Using a multipoint approximation to the moment-generating function, this paper presents an improved version of Hoeffding's inequality which can be evaluated easily. The optimal multipoint degree is selected by a change-point detection method. Some numerical comparisons are also demonstrated. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：7

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