Abstract
The aim of this paper is to establish Hoeffding and Bernstein type concentration inequalities for weighted sums of exchangeable random variables. A special case is the i.i.d. setting, where random variables are sampled independently from some distribution (and are therefore exchangeable). In contrast to the existing literature on this problem, our results provide a natural unified view of both the i.i.d. and the exchangeable setting.
Funding Statement
The author was supported by the Office of Naval Research via grant N00014-20-1-2337 and by the National Science Foundation via grant DMS-2023109.
Acknowledgments
The author thanks Aaditya Ramdas and Ian Waudby-Smith for helpful discussions.
Citation
Rina Foygel Barber. "Hoeffding and Bernstein inequalities for weighted sums of exchangeable random variables." Electron. Commun. Probab. 29 1 - 13, 2024. https://doi.org/10.1214/24-ECP620
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