Hoeffding's inequality for supermartingales
classification
🧮 math.PR
keywords
inequalityhoeffdingsupermartingalesabovebennettbernsteinboundedcase
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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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