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

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  • Cheng, Xueqin
  • Li, Yanpeng

Abstract

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.

Suggested Citation

  • Cheng, Xueqin & Li, Yanpeng, 2022. "An improved Hoeffding’s inequality for sum of independent random variables," Statistics & Probability Letters, Elsevier, vol. 183(C).
    • Handle: RePEc:eee:stapro:v:183:y:2022:i:c:s0167715221002923
    DOI: 10.1016/j.spl.2021.109349
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    References listed on IDEAS

    as
    1. Zheng, Songfeng, 2017. "A refined Hoeffding’s upper tail probability bound for sum of independent random variables," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 87-92.
    2. Zhong Guan, 2016. "Efficient and robust density estimation using Bernstein type polynomials," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(2), pages 250-271, June.
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