Sharp finite-sample concentration of independent variables
arXiv (Cornell University)(2020)
摘要
We show an extension of Sanov's theorem on large deviations, controlling the tail probabilities of i.i.d. random variables with matching concentration and anti-concentration bounds. This result has a general scope, applies to samples of any size, and has a short information-theoretic proof using elementary techniques.
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关键词
concentration,independent variables,finite-sample
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