2012
DOI: 10.1016/j.spa.2012.06.009
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Hoeffding’s inequality for supermartingales

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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Cited by 64 publications
(58 citation statements)
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“…Over BR graphs, this property is lost, and in particular the node degrees are dependent and non-identically distributed. In order to overcome this difficulty, we appeal to the martingale structure of the degrees and to a maximal martingale inequality [34], which allow us to prove (15), and then (14). Using now ( 13), ( 14) and the triangle inequality we get:…”
Section: Resultsmentioning
confidence: 99%
“…Over BR graphs, this property is lost, and in particular the node degrees are dependent and non-identically distributed. In order to overcome this difficulty, we appeal to the martingale structure of the degrees and to a maximal martingale inequality [34], which allow us to prove (15), and then (14). Using now ( 13), ( 14) and the triangle inequality we get:…”
Section: Resultsmentioning
confidence: 99%
“…Theorem 8.3 (Corollary 2.2 in [FGL12]). Let (ξ i , F i ) 0≤i≤n be a supermartingale difference sequence such that ξ 0 = 0 and ξ i ≤ 1 for each i ∈ {1, .…”
Section: Reduction To the Simplified Protocolmentioning
confidence: 99%
“…Moreover, in Section 7, we will apply a version of the Inequality for submartingales, where the bound only holds for the lower tail of Y i . This formulation (with slightly stronger constants) can be found in [14].…”
Section: Martingale Concentration Inequalitiesmentioning
confidence: 99%