ConceptBernstein's inequality
Bernstein Inequality
A concentration inequality in probability theory that uses variance information to bound the tail probability of a sum of random variables. When the variance is small, it gives a tighter bound than the Hoeffding inequality.
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Oct 22
The Bernstein inequality uses variance information to give tighter tail bounds than Hoeffding, with its typical form containing a linear term (depending on the variance) and a quadratic term (depending on the one-step bounded range), and it converges faster when the variance is small.
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