Let $\{ X_t \}$ be independent zero mean random variables, and $|X_t|<R$. Bernstein's inequality yields: $$\mathbb{P} \left( \sum_{t=1}^{T}X_{i} \geq \varepsilon \right) \leq \exp \left( \frac{ -\frac{1}{2}\varepsilon^{2} }{ \sum_{t=1}^{T} \mathbb{E} \left[ X_{t}^{2} \right] +\frac{1}{3}R\varepsilon } \right).$$ Azuma's inequality (Hoeffding's inequality) yields: $$\mathbb{P} \left( \sum_{t=1}^{T}X_{t} \geq \varepsilon \right) \leq \exp \left( \frac{-\frac12 \varepsilon^{2}}{ TR^2 } \right).$$ Apparently, for large $\varepsilon$, Hoeffding's inequality is better; while for $\mathrm{var}(X_t)<R^2$ and $\varepsilon<TR$, Bernstein's inequality is better. So Question 1: Is Bernstein/Hoeffding tight? Question 2: Is there any inequality that combines Bernstein+Hoeffding? Q3: Is there any inequality that is tight in both regimes?
2026-03-25 08:09:57.1774426197
Tightness of Bernstein's inequality and Hoeffding's inequality
204 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in PROBABILITY-THEORY
- Is this a commonly known paradox?
- What's $P(A_1\cap A_2\cap A_3\cap A_4) $?
- Another application of the Central Limit Theorem
- proving Kochen-Stone lemma...
- Is there a contradiction in coin toss of expected / actual results?
- Sample each point with flipping coin, what is the average?
- Random variables coincide
- Reference request for a lemma on the expected value of Hermitian polynomials of Gaussian random variables.
- Determine the marginal distributions of $(T_1, T_2)$
- Convergence in distribution of a discretized random variable and generated sigma-algebras
Related Questions in STATISTICS
- Given is $2$ dimensional random variable $(X,Y)$ with table. Determine the correlation between $X$ and $Y$
- Statistics based on empirical distribution
- Given $U,V \sim R(0,1)$. Determine covariance between $X = UV$ and $V$
- Fisher information of sufficient statistic
- Solving Equation with Euler's Number
- derive the expectation of exponential function $e^{-\left\Vert \mathbf{x} - V\mathbf{x}+\mathbf{a}\right\Vert^2}$ or its upper bound
- Determine the marginal distributions of $(T_1, T_2)$
- KL divergence between two multivariate Bernoulli distribution
- Given random variables $(T_1,T_2)$. Show that $T_1$ and $T_2$ are independent and exponentially distributed if..
- Probability of tossing marbles,covariance
Related Questions in INEQUALITY
- Confirmation of Proof: $\forall n \in \mathbb{N}, \ \pi (n) \geqslant \frac{\log n}{2\log 2}$
- Prove or disprove the following inequality
- Proving that: $||x|^{s/2}-|y|^{s/2}|\le 2|x-y|^{s/2}$
- Show that $x\longmapsto \int_{\mathbb R^n}\frac{f(y)}{|x-y|^{n-\alpha }}dy$ is integrable.
- Solution to a hard inequality
- Is every finite descending sequence in [0,1] in convex hull of certain points?
- Bound for difference between arithmetic and geometric mean
- multiplying the integrands in an inequality of integrals with same limits
- How to prove that $\pi^{e^{\pi^e}}<e^{\pi^{e^{\pi}}}$
- Proving a small inequality
Related Questions in DISTRIBUTION-TAILS
- Tail Value at Risk of Normal Distribution
- Probability that an infinite sequence of i.i.d. integers has a repetition
- Is there a way to lower bound the left tail probability of a random variable?
- Applying Chernoff's/Hoeffding's Tail Bounds for Bounded, Dependent Variables
- To establish an inequality using Chebyshev's probability bound
- Heavy tailed distributions and their sum
- An explicit expression for tail probability using fourier transform
- Comparing two sum of fractal moments for heavy-tail distribution
- A classical result of first hitting time of simple random walk 1
- Value at Risk: Coherent risk measure for normal distribution
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
second-order-logic
numerical-methods
puzzle
logic
probability
number-theory
winding-number
real-analysis
integration
calculus
complex-analysis
sequences-and-series
proof-writing
set-theory
functions
homotopy-theory
elementary-number-theory
ordinary-differential-equations
circles
derivatives
game-theory
definite-integrals
elementary-set-theory
limits
multivariable-calculus
geometry
algebraic-number-theory
proof-verification
partial-derivative
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?