Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables

DOI10.3934/puqr.2021003zbMath1480.60048OpenAlexW3152472813MaRDI QIDQ2038279

Yuta Tanoue

Publication date: 6 July 2021

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2021003

zbMATH Keywords

boundedHoeffding inequalitysub-Gaussian\( \alpha\)-mixing coefficient

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• Extensions of the Hoeffding-Azuma inequalities
• Approximation theorems for strongly mixing random variables
• Bounds for functions of dependent risks
• Some remarks on coupling of dependent random variables
• Reducing model risk via positive and negative dependence assumptions
• Risk bounds for factor models
• Probability Inequalities for the Sum of Independent Random Variables
• Reduction of Value-at-Risk bounds via independence and variance information
• Risk Bounds and Partial Dependence Information
• Large deviations for sums of partly dependent random variables
• Probability Inequalities for Sums of Bounded Random Variables
• Understanding Relationships Using Copulas

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