Some Hoeffding- and Bernstein-type Concentration Inequalities

02/11/2021

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by   Andreas Maurer, et al.

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We prove concentration inequalities for functions of independent random variables under sub-gaussian and sub-exponential conditions. The utility of the inequalities is demonstrated by an extension of the now classical method of Rademacher complexities to Lipschitz function classes and unbounded sub-exponential distribution.