A refined Hoeffding's upper tail probability bound for sum of independent random variables
Abstract
Using a refined arithmetic–geometric mean inequality, this paper gives an improved version of Hoeffding's inequality which has a closed form and is easy to evaluate. Numerical simulation comparing the performance of the proposed inequality to the original version of Hoeffding's inequality is also presented.
Department(s)
Mathematics
Document Type
Article
DOI
https://doi.org/10.1016/j.spl.2017.08.012
Keywords
Arithmetic-geometric mean inequality, Hoeffding's inequality, Variance
Publication Date
12-1-2017
Recommended Citation
Zheng, Songfeng. "A refined Hoeffding’s upper tail probability bound for sum of independent random variables." Statistics & Probability Letters 131 (2017): 87-92.
Journal Title
Statistics and Probability Letters
COinS
